Browsing by Subject "Yield Models"

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Study of the approaches to term structure modelling and their applications in the pricing of interest rate derivatives

Sharma, Amit; Balaraman, Nikhil Kashyab; D., Mukundan (Indian Institute of Management Ahmedabad, 2004)

The theory of the term structure of interest rates has evolved greatly over the last fifty years. This evolution has been largely motivated by the growth of the markets and their diverse needs. Simple explanations like the ...