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Interest rate convexity in a Gaussian framework (2024)

First Author: Jacquier A

Attributed to: Rough Volatility: A Trojan horse into modern Financial computing funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1080/14697688.2024.2356234

Publication URI: http://dx.doi.org/10.1080/14697688.2024.2356234

Type: Journal Article/Review

Parent Publication: Quantitative Finance

Issue: 6