Viatcheslav Gorovoi

Northwestern University - Department of Industrial Engineering and Management Sciences

Evanston, IL 60208-3119

United States

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Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates

Mathematical Finance, Vol. 14, pp. 49-78, January 2004
Number of pages: 30 Posted: 13 Apr 2004
Viatcheslav Gorovoi and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences
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