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Libor and Swap Market Models for the pricing of interest rate derivatives : an empirical analysis

by Frank de Jong, Joost Driessen and Antoon Pelsser
Year of publication:
2000
Authors: Jong, Frank de ; Driessen, Joost ; Pelsser, Antoon André Jean
Publisher: Tilburg
Subject: Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Derivat | Derivative | CAPM | Theorie | Theory
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