Interest rate dynamics, derivatives pricing, and risk management
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Publication:1910357
zbMath0862.90015MaRDI QIDQ1910357
Publication date: 2 April 1996
Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)
term structure modelCox-Ingersoll-Ross modelcorrelated Brownian motionsjump componentsinterest rate risk management
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