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Joerg Kienitz
"The Heston and the SABR model are reviewed and analyzed in detail. Both models are widely applied in practice. Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant Maturity Swap options."--Jacket flap.
| Publisher | Palgrave Macmillan |
|---|---|
| Search language | english |
| ISBN_13 | 978-1-137-32733-8 primary |
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