A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates (Q1003544)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates |
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A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates (English)
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4 March 2009
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Fokker-Planck equation
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asymptotic expansion
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LIBOR market model
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interest rate derivatives
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