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Modeling credit spreads: An application to the sterling Eurobond market

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  • Manzoni, Katiuscia
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    File URL: http://www.sciencedirect.com/science/article/pii/S1057-5219(02)00074-1
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    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 11 (2002)
    Issue (Month): 2 ()
    Pages: 183-218

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    Handle: RePEc:eee:finana:v:11:y:2002:i:2:p:183-218
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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    21. Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008. "A Markov Model for the Term Structure of Credit Risk Spreads," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453 World Scientific Publishing Co. Pte. Ltd..
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