Valuation of sinking-fund bonds in the Vasicek and CIR frameworks∗Financial support from Murst Fondo 40% on ‘Modelli di struttura a termine dei tassi d'interesse’ is gratefully acknowledged.
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/13504869600000013
Reference15 articles.
1. Term structure of interest rates: The martingale approach
2. Duration and the Measurement of Basis Risk
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