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~isPartOf:"The journal of computational finance"
~person:"Fanelli, Viviana"
~person:"Hull, John"
~person:"Milas, Costas"
~person:"Rebonato, Riccardo"
~subject:"Interest rate derivative"
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Interest rate derivative
Arbitrage
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Libor market model
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Option pricing theory
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Fanelli, Viviana
Hull, John
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Rebonato, Riccardo
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The journal of computational finance
Economics discussion paper series / Loughborough University, Department of Economics
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A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
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