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~isPartOf:"Interest rate futures : concepts and issues"
~isPartOf:"Report / Erasmus Center for Financial Research, Erasmus University"
~isPartOf:"The journal of computational finance"
~person:"Andersen, Leif B. G."
~person:"Chiang, Raymond"
~person:"Jaeckel, Peter"
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Interest rate futures : concepts and issues
Report / Erasmus Center for Financial Research, Erasmus University
The journal of computational finance
Applied mathematical finance
1
Selected writings on futures markets : explorations in financial futures markets
1
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ECONIS (ZBW)
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Extended Libor market models with stochastic volatility
Andersen, Leif B. G.
;
Brotherton-Ratcliffe, Rupert
- In:
The journal of computational finance
9
(
2005
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
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2
The link between caplet and swaption volatilities in a Brace-Gatarek-Musiela/Jamshidian framework : approximate solutions and empirical evidence
Jaeckel, Peter
;
Rebonato, Riccardo
- In:
The journal of computational finance
6
(
2003
)
4
,
pp. 41-59
Persistent link: https://www.econbiz.de/10001782185
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3
Duration, immunization, and hedging with interest rate futures
Kolb, Robert W.
- In:
Interest rate futures : concepts and issues
,
(pp. 353-364)
.
1986
Persistent link: https://www.econbiz.de/10001258089
Saved in:
4
Improving hedging performance using interest rate futures
Kolb, Robert W.
- In:
Interest rate futures : concepts and issues
,
(pp. 339-352)
.
1982
Persistent link: https://www.econbiz.de/10001258065
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