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Time-Changed Levy LIBOR Market Model for the Joint Estimation and Pricing of Caps and Swaptions


Stromberg, Jacob; Leippold, Markus (2012). Time-Changed Levy LIBOR Market Model for the Joint Estimation and Pricing of Caps and Swaptions. SFI Research Paper Series 12-23, Swiss Finance Institute.

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Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:2012
Deposited On:04 Mar 2014 13:55
Last Modified:15 Apr 2016 08:29
Series Name:SFI Research Paper Series
Free access at:Official URL. An embargo period may apply.
Official URL:http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2065375##
Other Identification Number:merlin-id:8804

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