Browsing Accounting and Finance by Author "Memartoluie, Amir"
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Short Rate Models with Nonlinear Drift and Jumps
Memartoluie, Amir (University of Waterloo, 2009-08-27)Many financial contracts can be regarded as derivative securities where the underlying state variable is one or more rates of interest. A partial list of such contracts would include zero-coupon bonds, coupon paying bonds, ...