Titlebook: Security Protocols; 15th International W Bruce Christianson,Bruno Crispo,Michael Roe Conference proceedings 2010 Springer Berlin Heidelberg

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Shishir Nagarajahite, 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

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Shishir Nagarajahite, 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

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Michael Roe along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuou

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Alf Zugenmaier,Julien Laganier,Anand Prasad,Kristian Slavov

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Tuomas Aura,Moritz Becker,Michael Roe,Piotr Zielińskif the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuou978-3-540-60814-1978-3-642-46825-4Series ISSN 0075-8442 Series E-ISSN 2196-9957