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subject:"Yield curve"
~person:"Li, Haitao"
~source:"econis"
~subject:"Currency derivative"
~subject:"Zinsderivat"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Lehrbuch"
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Li, Haitao
Bhar, Ramaprasad
9
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9
Ito, Takayasu
9
Chen, Ren-Raw
8
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8
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5
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1
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1
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ECONIS (ZBW)
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1
Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
Li, Haitao
;
Ye, Xiaoxia
;
Yu, Fan
- In:
European journal of operational research : EJOR
286
(
2020
)
3
,
pp. 1153-1167
Persistent link: https://www.econbiz.de/10012291633
Saved in:
2
Nonparametric estimation of state-price densities implicit in interest rate cap prices
Li, Haitao
;
Zhao, Feng
- In:
The review of financial studies
22
(
2009
)
11
,
pp. 4335-4376
Persistent link: https://www.econbiz.de/10003896303
Saved in:
3
Interest rate caps "smile" too! : but can the LIBOR market models capture the smile?
Jarrow, Robert A.
;
Li, Haitao
;
Zhao, Feng
- In:
The journal of finance : the journal of the American …
62
(
2007
)
1
,
pp. 345-382
Persistent link: https://www.econbiz.de/10003425910
Saved in:
4
Corporate use of interest rate swaps : theory and evidence
Li, Haitao
;
Mao, Connie X.
- In:
Journal of banking & finance
27
(
2003
)
8
,
pp. 1511-1538
Persistent link: https://www.econbiz.de/10001770314
Saved in:
5
Pricing of swaps with default risk
Li, Haitao
- In:
Review of derivatives research
2
(
1998
)
2/3
,
pp. 231-250
Persistent link: https://www.econbiz.de/10001497946
Saved in:
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