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Interest rate convexity in a Gaussian framework

Antoine Jacquier and Mugad Oumgari
Year of publication:
2024
Authors: Jacquier, Antoine ; Oumgari, Mugad
Subject: Convexity adjustment | Fractional Brownian motion | Interest rates | Zins | Interest rate | Theorie | Theory | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve
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