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Trolle-Schwartz HJM interest rate model
The Trolle and Schwartz (2009) interest rate model prices interest rate derivatives in a generalised stochastic volatility framework. It is a reformulation of the multifactor Heath, Jarrow and Morton (1992) framework with stochastic volatility terms presented in an analogous fashion to the seminal H...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2017
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