On the valuation of compositions in Lévy term structure models (Q3404105): Difference between revisions

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+.3456
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+Towards a general theory of bond markets
@@ Property / cites work: Towards a general theory of bond markets / rank @@
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+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
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+Lévy term structure models: no-arbitrage and completeness
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+VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS
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+The Lévy LIBOR model
@@ Property / cites work: The Lévy LIBOR model / rank @@
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+Term Structure Models Driven by General Levy Processes
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+LIBOR and swap market models and measures
@@ Property / cites work: LIBOR and swap market models and measures / rank @@
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+Q5714235
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+Computation of copulas by Fourier methods
@@ Property / cites work: Computation of copulas by Fourier methods / rank @@
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