CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK (Q4902544)

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scientific article; zbMATH DE number 6125923
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CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK
scientific article; zbMATH DE number 6125923

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    CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK (English)
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    16 January 2013
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    CMS
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    CMS spread
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    Heath-Jarrow-Morton
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    multi-factor model
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    Gaussian models
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    G2++
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    libor market model
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    analytical formula
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    efficient approximation
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