Abstract
The general models developed in Chapters 8 and 9 are models that describe the evolution of the whole yield-curve.16 Hence, these models are quite complicated since one needs to keep track of many stochastic processes (e.g. all Libor rates) simultaneously. For the example products described in those chapters, such a level of complexity is indeed required.
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© 2000 Springer-Verlag London
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Pelsser, A. (2000). Convexity Correction. In: Efficient Methods for Valuing Interest Rate Derivatives. Springer Finance. Springer, London. https://doi.org/10.1007/978-1-4471-3888-4_11
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DOI: https://doi.org/10.1007/978-1-4471-3888-4_11
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