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Interest Rate Dynamics, Derivatives Pricing, and Risk Management

Bag om Interest Rate Dynamics, Derivatives Pricing, and Risk Management

There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783540608141
  • Indbinding:
  • Paperback
  • Sideantal:
  • 152
  • Udgivet:
  • 7. marts 1996
  • Størrelse:
  • 234x156x9 mm.
  • Vægt:
  • 265 g.
  • 8-11 hverdage.
  • 13. december 2024
Forlænget returret til d. 31. januar 2025

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Beskrivelse af Interest Rate Dynamics, Derivatives Pricing, and Risk Management

There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates.

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