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New and robust drift approximations for the Libor market model

Mark Joshi and Alan Stacey
Year of publication:
2006
Other Persons: Joshi, Mark S. (contributor) ; Stacey, Alan (contributor)
Publisher: Parkville, Vic. : Centre for Actuarial Studies
Subject: Theorie | Theory | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative
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