知识分子
发表于 2025-3-30 08:50:30
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Affiliation
发表于 2025-3-30 15:07:11
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JUST
发表于 2025-3-30 18:58:36
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指耕作
发表于 2025-3-30 22:28:47
Tuomas Aura,Moritz Becker,Michael Roe,Piotr Zielińskidingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Le
reaching
发表于 2025-3-31 03:07:13
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挥舞
发表于 2025-3-31 05:41:47
tice care has to be taken when building yield curves. The good old days when a single curve per currency could be used are long gone. A hierarchy of curves has to be set up to consistently price future cash flows. The curves depend on the purpose of application and on the prevailing collateral agree
LEVY
发表于 2025-3-31 09:31:08
Bruce Christiansontice care has to be taken when building yield curves. The good old days when a single curve per currency could be used are long gone. A hierarchy of curves has to be set up to consistently price future cash flows. The curves depend on the purpose of application and on the prevailing collateral agree
积云
发表于 2025-3-31 14:49:13
Micah Sherr,Eric Cronin,Matt Blazend we have to take many risks into account for analyzing a pricing and hedging mechanism. For the convenience of the reader we have created a spreadsheet which illustrates the pricing of CMS and even the corresponding derivatives CMS Caplets and Floorlets. Due to the popularity as the building block
人类学家
发表于 2025-3-31 20:31:20
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愤怒事实
发表于 2025-3-31 23:15:46
Amerson Linhite, the Cheyette and the Libor Market model. For all the models we consider the extensions bya stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an overview of the numerical methods that are relevant for successfully implementing the models conside