Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk (Q3577152)
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scientific article; zbMATH DE number 5763884
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| English | Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk |
scientific article; zbMATH DE number 5763884 |
Statements
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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0.7717298269271851
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0.7547415494918823
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0.7516776919364929
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0.7457118034362793
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0.73897784948349
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