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~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~subject:"Monte Carlo simulation"
~subject:"Swap"
~type_genre:"Non-commercial literature"
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A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
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2017
Persistent link: https://www.econbiz.de/10011778187
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2
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
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2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
3
Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo
;
Chiarella, Carl
;
Kang, Boda
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2012
Persistent link: https://www.econbiz.de/10009632002
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