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- W3146135935 abstract "We consider a two-country multi-factor quadratic Gaussian model and provide efficient formulas for the price of default free bonds and the calibration of the model to the default free discount term structure. We also provide approximations for the price of default free swaptions in such a model indicating the limitation of using an approach based on replacing certain martingales by their expectation." @default.
- W3146135935 created "2021-04-13" @default.
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- W3146135935 date "2007-05-01" @default.
- W3146135935 modified "2023-09-27" @default.
- W3146135935 title "Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model" @default.
- W3146135935 hasPublicationYear "2007" @default.
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