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In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing … the specific model chosen for the index process, the dividend process, and the interest rate term structure. We provide an … approximation errors from a theoretical as well as from a numerical point of view. -- Real estate ; index linked swaps ; arbitrage …
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In this paper, I obtain new measures of the value of active portfolio management by forming replicating portfolios. These measures allow for a separate evaluation of fund managers' strategic and tactical decisions. I also obtain new evidence on the value of trading by decomposing it into...
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