Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk (Q3577152)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk |
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Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk (English)
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5 August 2010
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swaption
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CMS
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affine term structure model
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convexity adjustment
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credit derivative
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survival contingent measure
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