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Keywords: Interest rate risk
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2021) 38 (3): 583–600.
Published: 15 July 2019
... of the short interest rate to capture interest rate risk. Price a long-term option by a system of two stochastic processes to capture both underlying asset and interest rate volatilities. Model capital charges according to the Basel III regulatory specified approach. S&P 500 index and relevant data...
