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Implementing short-rate models with jumps at deterministic times
Macroeconomic announcements have a direct impact on short-term interest rates during a financial year. However, this is not directly reflected in the continuous-time interest rate models. In this paper, we work with short-rate models which include the possibility of jumps at deterministic times. An...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2023
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