Samson Assefa

affiliation not provided to SSRN

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Scholarly Papers (1)

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Fast Calibration of Interest Rate Claims in the Quadratic Gaussian Model: 1 The Caplets

Number of pages: 47 Posted: 18 Mar 2009
Daniel Alexandre Bloch and Samson Assefa
Université Paris VI Pierre et Marie Curie and affiliation not provided to SSRN
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Abstract:

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Multi-factor Quadratic Gaussian model, Caps and Swaptions price, Malliavin calculus