Essays on pricing fixed income derivatives and risk management
This dissertation consists of four essays on pricing fixed income derivatives and risk management. The first essay presents pricing and duration formulas for floating rate bonds and interest rate swaps with embedded options. It combines Briys et al.'s approximation with the extended Vasicek ter...
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| Language: | ENG |
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ScholarWorks@UMass Amherst
2000
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| Online Access: | https://scholarworks.umass.edu/dissertations/AAI9988858 |