Modern Pricing of Interest-Rate Derivatives
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Published By Princeton University Press

9781400829323

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Modern Pricing of Interest-Rate Derivatives ◽

10.2307/j.ctt7rpkk.18 ◽

2018 ◽

pp. 445-452

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Extending the Standard Approach - I:

Modern Pricing of Interest-Rate Derivatives ◽

10.2307/j.ctt7rpkk.15 ◽

2018 ◽

pp. 333-366

Keyword(s):

Standard Approach

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Calibrating a Forward-Rate-Based LIBOR Market Model to Swaption Prices

Modern Pricing of Interest-Rate Derivatives ◽

10.2307/j.ctt7rpkk.14 ◽

2018 ◽

pp. 276-330

Keyword(s):

Market Model ◽

Forward Rate ◽

Libor Market Model

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Simultaneous Calibration to Market Caplet Prices and to an Exogenous Correlation Matrix

Modern Pricing of Interest-Rate Derivatives ◽

10.2307/j.ctt7rpkk.13 ◽

2018 ◽

pp. 249-275

Keyword(s):

Correlation Matrix

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Front Matter

Modern Pricing of Interest-Rate Derivatives ◽

10.2307/j.ctt7rpkk.1 ◽

2018 ◽

pp. i-vi

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Describing the Dynamics of Forward Rates

Modern Pricing of Interest-Rate Derivatives ◽

10.2307/j.ctt7rpkk.7 ◽

2018 ◽

pp. 57-84

Keyword(s):

Forward Rates

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Putting the Modern Pricing Approach in Perspective

Modern Pricing of Interest-Rate Derivatives ◽

10.2307/j.ctt7rpkk.5 ◽

2018 ◽

pp. 3-24

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Modern Pricing of Interest-Rate Derivatives ◽

10.2307/j.ctt7rpkk.2 ◽

2018 ◽

pp. vii-x

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Extending the Standard Approach - II:

Modern Pricing of Interest-Rate Derivatives ◽

10.2307/j.ctt7rpkk.16 ◽

2018 ◽

pp. 367-414

Keyword(s):

Standard Approach

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Acknowledgements

Modern Pricing of Interest-Rate Derivatives ◽

10.2307/j.ctt7rpkk.4 ◽

2018 ◽

pp. xvii-xviii

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Modern Pricing of Interest-Rate Derivatives
Latest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Princeton University Press

Bibliography

Extending the Standard Approach - I:

Calibrating a Forward-Rate-Based LIBOR Market Model to Swaption Prices

Simultaneous Calibration to Market Caplet Prices and to an Exogenous Correlation Matrix

Front Matter

Describing the Dynamics of Forward Rates

Putting the Modern Pricing Approach in Perspective

Table of Contents

Extending the Standard Approach - II:

Acknowledgements

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Modern Pricing of Interest-Rate DerivativesLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Princeton University Press

Bibliography

Extending the Standard Approach - I:

Calibrating a Forward-Rate-Based LIBOR Market Model to Swaption Prices

Simultaneous Calibration to Market Caplet Prices and to an Exogenous Correlation Matrix

Front Matter

Describing the Dynamics of Forward Rates

Putting the Modern Pricing Approach in Perspective

Table of Contents

Extending the Standard Approach - II:

Acknowledgements

Modern Pricing of Interest-Rate Derivatives
Latest Publications