Short Rate Models: Hull-White or Black-Karasinski? Implementation Note and Model Comparison for ALM

Ser-Huang Poon, Aisha Khan, Eric Guan

Research output: Working paper

Original languageEnglish
Place of PublicationUK and USA
Number of pages60
Publication statusPublished - 2008

Publication series

NameManchester Business School Working Paper Series,
PublisherManchester Business School, SSRN: http://ssrn.com/abstract=1286827

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