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Preview Pricing Interest-Rate-Derivative Securities - Ressources actuarielles pdf file

... Interest-Rate-. Derivative Securities ... modity futures, The volatility of the forward rate is assumed to be a ... The Review of Financial Studies 1990 Volume 3, number 4, pp. 573-392 ... model consistent with the existing term structure of interest rates and ... icek model with the one-factor CIR model and with two different two-.

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