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2004•Lecture notes in economics and mathematical systemsRequires access

Estimating LIBOR/Swaps Spot-Volatilities: the EpiVolatility Model

Stephen W. Bianchi, Roger J.‐B. Wets, Liming Yang

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Key concepts: Libor, LIBOR market model, Forward rate, Spot contract, Volatility (finance), Econometrics, Economics, Mathematical optimization

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