An Implementation of the Shirakawa Jump-Diffusion Term Structure Model
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KeywordsTerm Structure Models; Jump-Diffusions; Derivative Pricing;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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