Stochastic duration and fast coupon bond option pricing in multi-factor models (Q375483): Difference between revisions
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Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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Property / Mathematics Subject Classification ID: 91B25 / rank | |||
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Property / Mathematics Subject Classification ID: 91G30 / rank | |||
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Property / zbMATH DE Number: 6221288 / rank | |||
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term structure of interest rates | |||
Property / zbMATH Keywords: term structure of interest rates / rank | |||
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stochastic duration | |||
Property / zbMATH Keywords: stochastic duration / rank | |||
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multi-factor models | |||
Property / zbMATH Keywords: multi-factor models / rank | |||
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coupon bond option pricing | |||
Property / zbMATH Keywords: coupon bond option pricing / rank | |||
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swaption pricing | |||
Property / zbMATH Keywords: swaption pricing / rank | |||
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Latest revision as of 01:06, 5 March 2024
scientific article
Language | Label | Description | Also known as |
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English | Stochastic duration and fast coupon bond option pricing in multi-factor models |
scientific article |
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Stochastic duration and fast coupon bond option pricing in multi-factor models (English)
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30 October 2013
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term structure of interest rates
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stochastic duration
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multi-factor models
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coupon bond option pricing
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swaption pricing
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