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Bias-Free Joint Simulation of Multi-Factor Short Rate Models and Discount Factor
This dissertation explores the use of single- and multi-factor Gaussian short rate models for the valuation of interest rate sensitive European options. Specifically, the focus is on deriving the joint distribution of the short rate and the discount factor, so that an exact and unbiased simulation s...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2019
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