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Found 737 Documents (Results 1–100)

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Heat kernel interest rate models with time-inhomogeneous Markov processes. (English) Zbl 07516345

Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 179-193 (2022).
MSC:  91G30 35K08 60G51
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Stochastic interest rate modeling with fixed income derivative pricing. 3rd edition. (English) Zbl 07291794

Advanced Series on Statistical Science & Applied Probability 22. Singapore: World Scientific (ISBN 978-981-12-2660-1/hbk; 978-981-12-2662-5/ebook). xvii, 354 p. (2022).
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Bond portfolio management, swap strategy, duration, and convexity. (English) Zbl 1454.91225

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3059-3098 (2021).
MSC:  91G10 91G20 91G30
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Dynamic term structure models using principal components analysis near the zero lower bound. (English) Zbl 1454.91316

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2199-2250 (2021).
MSC:  91G30 62P05 62H25
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