Author:
Andersen Leif,Andreasen Jesper
Subject
Strategy and Management,Economics and Econometrics,Finance,Accounting
Reference17 articles.
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2. Volatility skews and extensions of the Libor market model;Andersen;Applied Mathematical Finance,2000
3. Andersen, L., Broadie, M., 2001. Practical primal-dual simulations for American securities. Unpublished working paper, Gen Re Securities and Columbia University.
4. Black, F., Derman, E., Toy, W., 1990. A one-factor model of interest rates and its application to Treasury Bond options. Financial Analysts Journal (January–February) 33–39.
5. The market model of interest rate dynamics;Brace;Mathematical Finance,1997
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