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Mathematical finance / Interest rates / Fixed income analysis / Hull–White model / Interest rate swap / Black–Karasinski model / Swaption / Swap / Yield curve / Financial economics / Finance / Economics


Semi-analytic valuation of credit linked swaps in a Black-Karasinski framework ¨ Peter Jackel Quant Congress Europe
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Document Date: 2011-07-26 17:45:39


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File Size: 371,24 KB

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