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Interest Rate Modeling

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

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This chapter contains sections titled: Basic Concepts One-Factor Term-Structure Models Further One-Factor Term-Structure Models Two-Factor Interest Rate Models Choosing a Term-Structure Model

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2014A cyclical square-root model for the term structure of interest rates 2014AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL

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