On the valuation of compositions in L\'evy term structure models
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References listed on IDEAS
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- Kathrin Glau & Zorana Grbac & Antonis Papapantoleon, 2016. "A unified view of LIBOR models," Papers 1601.01352, arXiv.org, revised Jul 2016.
- Antonis Papapantoleon, 2010. "Old and new approaches to LIBOR modeling," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(s1), pages 257-275.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
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