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Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis

F.C.J.M. de Jong, J.J.A.G. Driessen and Antoon Pelsser ()
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F.C.J.M. de Jong: Tilburg University, School of Economics and Management
J.J.A.G. Driessen: Tilburg University, School of Economics and Management

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Date: 2000
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Working Paper: Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis (2000) Downloads
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