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Article
Title:
Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach
Authors:
João Pedro Vidal Nunes
(
U Warwick
,
ISCTE - Instituto Universitário de Lisboa
,
CEMAF - ISCTE, IUL
)
Les Clewlow
(
U Technology, Australia
,
U Warwick
)
Stewart Hodges
(
U Warwick
,
Australian Natl U
)
Journal:
Review Of Derivatives Research
Year:
1999
Volume:
3
Pages:
5-66
JEL code:
G13 - Contingent Pricing; Futures Pricing
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