Convexity Adjustments Made Easy - A Review of Convexity Adjustment Methodologies and Formulae in Interest Rate Markets
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Published:2019
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ISSN:1556-5068
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Container-title:SSRN Electronic Journal
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language:en
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Short-container-title:SSRN Journal
Reference17 articles.
1. Textbook: Interest Rate Modelling Volume I: Foundations and Vanilla Models;L & Andersen;Atlantic Financial Press,2010
2. Interest Rate Models Theory and Practice
3. Notes on Convexity and Quanto Adjustments for Interest Rates and Related Options
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