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Research monograph providing appropriate consistency conditions for and examples of blended models for the term structure of interest rates within the Health-Jarrow-Morton framework, combining curve-fitting methods and factor models. Softcover.
Type
book/monograph
ISBN
978-3-540414-93-3
Authors
Publication date
2001
Publisher
Series title/Series vol.
Lecture Notes in Mathematics; 1760
EPFL units
Available on Infoscience
April 24, 2010
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