Springer Finance - Interest Rate Models — Theory and Practice
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Published By Springer Berlin Heidelberg

9783540221494

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Cases of Calibration of the LIBOR Market Model

Springer Finance - Interest Rate Models — Theory and Practice ◽

10.1007/978-3-540-34604-3_7 ◽

2007 ◽

pp. 313-375

Keyword(s):

Market Model ◽

Libor Market Model

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Definitions and Notation

Springer Finance - Interest Rate Models — Theory and Practice ◽

10.1007/978-3-540-34604-3_1 ◽

2007 ◽

pp. 1-22

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Two-Factor Short-Rate Models

Springer Finance - Interest Rate Models — Theory and Practice ◽

10.1007/978-3-540-34604-3_4 ◽

2007 ◽

pp. 137-181

Keyword(s):

Short Rate Models

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Intensity Models

Springer Finance - Interest Rate Models — Theory and Practice ◽

10.1007/978-3-540-34604-3_22 ◽

2007 ◽

pp. 757-839

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Pricing Hybrids with an Inflation Component

Springer Finance - Interest Rate Models — Theory and Practice ◽

10.1007/978-3-540-34604-3_20 ◽

2007 ◽

pp. 689-692

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Calibration to market data

Springer Finance - Interest Rate Models — Theory and Practice ◽

10.1007/978-3-540-34604-3_18 ◽

2007 ◽

pp. 669-672

Keyword(s):

Market Data

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One-factor short-rate models

Springer Finance - Interest Rate Models — Theory and Practice ◽

10.1007/978-3-540-34604-3_3 ◽

2007 ◽

pp. 51-136

Keyword(s):

Short Rate Models

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The Heath-Jarrow-Morton (HJM) Framework

Springer Finance - Interest Rate Models — Theory and Practice ◽

10.1007/978-3-540-34604-3_5 ◽

2007 ◽

pp. 183-192

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Introduction and Pricing under Counterparty Risk

Springer Finance - Interest Rate Models — Theory and Practice ◽

10.1007/978-3-540-34604-3_21 ◽

2007 ◽

pp. 695-755

Keyword(s):

Counterparty Risk

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No-Arbitrage Pricing and Numeraire Change

Springer Finance - Interest Rate Models — Theory and Practice ◽

10.1007/978-3-540-34604-3_2 ◽

2007 ◽

pp. 23-47

Keyword(s):

Arbitrage Pricing ◽

No Arbitrage

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