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Stochastic volatility for interest rate derivatives |
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| Authors: | Linus Kaisajuntti Joanne Kennedy |
| Affiliation: | 1. Danske Markets , Stockholm , Sweden linus.kaisajuntti@gmail.com;3. Department of Statistics , University of Warwick , Coventry , UK |
| Abstract: | |
| Keywords: | Interest rate derivatives Stochastic volatility Interest rate modelling LIBOR market models Market dynamics |