Term structure modelling : pricing and risk management
This thesis is about interest rate modelling with applications in pricing and risk management of interest rate derivatives and portfolios. The first part of the thesis is developed within the random field framework suggested by Kennedy (1994). The framework is rich enough to be used for both pricing...
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University of Warwick
2003
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.396969 |