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An introduction to interest rate jumps at deterministic times
The observation of jumps in empirical interest-rate data has prompted the inclusion of these jumps in recent term-structure models. This dissertation focusses on explaining the effects of jumps that occur at known times on the pricing of bonds. Filipovic (2009) affirms that the transition from the p...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2023
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