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Efficient Methods for Valuing Interest Rate Derivatives

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Cover of 'Efficient Methods for Valuing Interest Rate Derivatives'

Table of Contents

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    Book Overview
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    Chapter 1 Introduction
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    Chapter 2 Arbitrage, Martingales and Numerical Methods
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    Chapter 3 Spot and Forward Rate Models
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    Chapter 4 Fundamental Solutions and the Forward-Risk-Adjusted Measure
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    Chapter 5 The Hull-White Model
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    Chapter 6 The Squared Gaussian Model
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    Chapter 7 An Empirical Comparison of One-Factor Models
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    Chapter 8 LIBOR and Swap Market Models
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    Chapter 9 Markov-Functional Models
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    Chapter 10 An Empirical Comparison of Market Models
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    Chapter 11 Convexity Correction
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    Chapter 12 Extensions and Further Developments
Attention for Chapter 2: Arbitrage, Martingales and Numerical Methods
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