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Latest revision as of 09:46, 30 July 2024

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SELF EXCITING THRESHOLD INTEREST RATES MODELS
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    SELF EXCITING THRESHOLD INTEREST RATES MODELS (English)
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    8 February 2007
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    SETAR
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    state-price density
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    skew Brownian motion
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    eigenfunction expansions
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    interest rates
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    market models
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