Valuation Of Swaps
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Bibliographic InfoPaper provided by Columbia - Center for Futures Markets in its series Papers with number 183.
Length: 37 pages
Date of creation: 1989
Date of revision:
Contact details of provider:
Postal: COLUMBIA UNIVERSITY, CENTER FOR THE STUDY OF FUTURE MARKETS, BUSINESS SCHOOL, MORNING SIDE HEIGHTS NY NEW YORK 10027 U.S.A..
Phone: (212) 854-5553
Web page: http://www.columbia.edu/cu/business/
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interest rate ; contracts ; stochastic processes ; prices;
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- Minton, Bernadette A., 1997. "An empirical examination of basic valuation models for plain vanilla U.S. interest rate swaps," Journal of Financial Economics, Elsevier, vol. 44(2), pages 251-277, May.
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