On the term structure of default premia in the swap and LIBOR markets
Year of publication: |
2001
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Authors: | Collin-Dufresne, Pierre ; Solnik, Bruno |
Published in: |
The journal of finance : the journal of the American Finance Association. - Hoboken, NJ [u.a.] : Wiley, ISSN 0022-1082, ZDB-ID 218191-5. - Vol. 56.2001, 3, p. 1095-1115
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Subject: | Swap | Zinsstruktur | Yield curve | Staatspapier | Government securities | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative |
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