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Keywords: Numerical analysis
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Journal Articles
Pricing interest rate derivatives under stochastic volatility
Available to Purchase
Journal:
Managerial Finance
Managerial Finance (2011) 37 (1): 72–91.
Published: 31 January 2011
... Stochastic processes Series Numerical analysis Several studies including Andersen and Lund (1997) , Ball and Torous (1999) , Kalimipalli and Susmel (2004) and Trolle and Schwartz (2009) have demonstrated that interest rate volatility is stochastic. For example, Figures 1 and 2 show...
