Vladislav Putyatin

University of Oxford

Mansfield Road

Oxford, Oxfordshire OX1 4AU

United Kingdom

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Scholarly Papers (1)

1.

The Value of Convexity: A Theoretical and Empirical Investigation

Number of pages: 33 Posted: 02 Sep 2015
Riccardo Rebonato and Vladislav Putyatin
University of Oxford - Mathematical Institute and University of Oxford
Downloads 269 (119,051)
Citation 1

Abstract:

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yield curve modelling, affine models, convexity