A tractable LIBOR model with default risk
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-15 (All new papers)
- NEP-BEC-2012-02-15 (Business Economics)
- NEP-RMG-2012-02-15 (Risk Management)
- NEP-UPT-2012-02-15 (Utility Models & Prospect Theory)
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