INTERPOLATION SCHEMES IN THE DISPLACED-DIFFUSION LIBOR MARKET MODEL AND THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS CHRISTOPHER BEVERIDGE AND MARK JOSHI Abstract. We introduce a new arbitra

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Date: 2013-08-05 02:19:33 Investment Mathematical finance Options Range accrual Bonds Interest rate derivative T1 Yield curve Zero-coupon bond Financial economics Economics Finance		INTERPOLATION SCHEMES IN THE DISPLACED-DIFFUSION LIBOR MARKET MODEL AND THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS CHRISTOPHER BEVERIDGE AND MARK JOSHI Abstract. We introduce a new arbitra Add to Reading List Source URL: fbe.unimelb.edu.au Download Document from Source Website File Size: 380,31 KB Share Document on Facebook

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