Implications of implicit credit spread volatilities on interest rate modelling (Q1694952)
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scientific article; zbMATH DE number 6835161
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Implications of implicit credit spread volatilities on interest rate modelling |
scientific article; zbMATH DE number 6835161 |
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Implications of implicit credit spread volatilities on interest rate modelling (English)
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6 February 2018
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finance
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arbitrage-free models
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Libor
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term structure
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volatility modelling
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0.89805377
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0.87239695
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0.8622314
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0.8557396
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0.85390806
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0.85028243
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0.8451093
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