Nick Guillaume

University of Oxford

Mansfield Road

Oxford, Oxfordshire OX1 4AU

United Kingdom

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The Nature of the Dependence of Magnitude of Rate Moves on the Rates Levels: A Universal Relationship

Number of pages: 34 Posted: 17 Jun 2015
Nick Guillaume, Riccardo Rebonato and Andrei Pogudin
University of Oxford, University of Oxford - Mathematical Institute and University of Oxford
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Abstract:

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interest rates, volatility