An analytically tractable interest rate model with humped volatility

F. Mercurio and J. M. Moraleda

European Journal of Operational Research, 2000, vol. 120, issue 1, pages 205-214

Date: 2000
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European Journal of Operational Research is edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

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