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On time-scaling of risk and the …

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Calibration Methods of Hull-White Model

Calibration Methods of Hull-White Model S ebastien Gurrieri1, Masaki Nakabayashi1x and Tony Wong1{ 1Risk Management Department, Mizuho Securities Tokyo Abstract We describe several strategies for the calibration of one factor Hull-White model with con-

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20080616 Using Duration Times Spread to …

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