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~isPartOf:"Applied Mathematical Finance"
~language:"und"
~person:"Cont, Rama"
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'value-at-risk' Pricing
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Phenomenology of the interest rate curve
Bouchaud, Jean-Philippe
;
Sagna, Nicolas
;
Cont, Rama
; …
- In:
Applied Mathematical Finance
6
(
1999
)
3
,
pp. 209-232
'
Value-at-Risk
' type of pricing. The instantaneous FRC, however, departs from a simple square-root law. The deformation is …
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