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Search: subject:"Australian dollar bills futures"
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Australian dollar bills futures
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HJM one-factor model
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convexity adjustment
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delivery option
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Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures
Henrard, Marc
-
EconWPA
-
2005
Australian
dollar
bills
futures
are very particular, not only on the valuation at expiry but also for the maturity …
Persistent link: https://www.econbiz.de/10005077000
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