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Mathematical finance / Options / Swaption / Interest rate derivative / LIBOR market model / Interest rate swap / Interest rate cap and floor / Volatility / Swap / Derivative / Range accrual / Implied volatility


An Empirical Analysis of the Swaption Cube Anders B. Trolle Ecole Polytechnique F´ed´erale de Lausanne and Swiss Finance Institute Eduardo S. Schwartz UCLA Anderson School of Management and NBER Abstract
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Document Date: 2010-11-16 03:17:42


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File Size: 794,49 KB

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