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  • Search: subject:"QuantLib"
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Year of publication
Subject
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QuantLib 2 Derivat 1 Derivative 1 Derivatives pricing 1 FRAs 1 Financial Engineering 1 Financial engineering 1 Open-source computing 1 Option pricing theory 1 Optionspreistheorie 1 Python 1 Stochastic process 1 Stochastischer Prozess 1 basis adjustment 1 basis swaps 1 caps 1 counterparty risk 1 crisis 1 discount curve 1 floors 1 forward curve 1 hedging 1 interest rate derivatives 1 liquidity 1 measure changes 1 no arbitrage 1 pricing 1 quanto adjustment 1 swaps 1 swaptions 1 yield curve 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
All
Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1 Undetermined 1
Author
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Bianchetti, Marco 1 Varma, Jayanth Rama 1 Virmani, Vineet 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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MPRA Paper 1 Working paper / Indian Institute of Management, Ahmedabad 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Derivatives pricing using QuantLib : an introduction
Varma, Jayanth Rama; Virmani, Vineet - 2015
Persistent link: https://www.econbiz.de/10010510021
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Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Bianchetti, Marco - Volkswirtschaftliche Fakultät, … - 2008
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with dierent underlying rate tenors. Within such double-curve-single-currency framework,...
Persistent link: https://www.econbiz.de/10008457180
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