Pricing caps with HJM models: the benefits of humped volatility (Q613457)
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scientific article; zbMATH DE number 5828254
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| English | Pricing caps with HJM models: the benefits of humped volatility |
scientific article; zbMATH DE number 5828254 |
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Pricing caps with HJM models: the benefits of humped volatility (English)
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20 December 2010
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finance
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interest rates
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humped volatility
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Kalman filter
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cap and floor pricing
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