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- W6297894 abstract "In this paper, we study the following models : Heath-Jarrow-Morton (1992) and Libor-Market- Model, also known as Brace-Gatarek-Musiela model (1997). We survey the extensions of these models and their representation in the Black and Scholes world. Our approach is pedagogical and is based on an exhaustive elaboration of the developments of these models. Finally, we discuss the evolution of these models towards the pricing of more complex structured derivatives, like TARN and we also briefly analyse more advanced versions like the SV Cheyette model." @default.
- W6297894 created "2016-06-24" @default.
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- W6297894 date "2006-01-03" @default.
- W6297894 modified "2023-10-02" @default.
- W6297894 title "Les modèles HJM et LMM revisités" @default.
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