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Pricing derivative securities with a multi-factor model of the yield curve

By Isabelle Bajeux-Besnainou, Roland Portait and 95 - Cergy-Pontoise (France) Centre d'Etudes et de Recherche de l'Ecole Superieure des Sciences Economiques et Commerciales (CERESSEC)

Abstract

SIGLEAvailable at INIST (FR), Document Supply Service, under shelf-number : DO 1678 / INIST-CNRS - Institut de l'Information Scientifique et TechniqueFRFranc

Topics: 05Z - Banking, finance, taxation, 12A - Pure mathematics, Pricing derivative securities with a multi-factor model of the yield curve [ martingale]
Year: 1992
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