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Rebonato, Riccardo
Jäckel, Peter
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Innovations in risk management : seminal papers from the Journal of Risk
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The journal of computational finance
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ECONIS (ZBW)
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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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The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes
Rebonato, Riccardo
;
Jäckel, Peter
- In:
Innovations in risk management : seminal papers from …
,
(pp. 339-351)
.
2004
Persistent link: https://www.econbiz.de/10002600431
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