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An intertemporal interest rate market model: Complete markets

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Author Info
Sandmann,Klaus (University of Bonn)

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Abstract

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Publisher Info
Paper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 94.

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Handle: RePEc:bon:bonsfb:94

Contact details of provider:
Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
Fax: +49 228 73 9221
Web page: http://www.bgse.uni-bonn.de/index.php?id=517

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Related research
Keywords: Contingent claims; Option pricing; Martingale measures;

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  1. K. Sandmann & Sondermann, D., 1993. "A Term Structure Model and the Pricing of Interest Rate Derivative," Discussion Paper Serie B 180, University of Bonn, Germany. [Downloadable!]
Statistics
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This page was last updated on 2009-12-21.


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