Department of Applied Mathematics
10 West 32nd Str, Bld E1, Room 208
Chicago, IL 60616
Illinois Institute of Technology
Term Structure, Nelson-Siegel Model, Vasicek Model, Monetary Policy, Federal Funds Target Rate.
trading rules, return rates, interest rate parity
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arbitrage, fundamental theorem of asset pricing, transaction costs, consistent pricing system, liquidity, dividends, credit default swaps, interest rate swaps
dynamic coherent acceptability index, dynamic measures of performance, dynamic coherent risk measures, dynamically consistent sequence of sets of probability measures, time consistency, dynamic GLR, dynamic RAROC
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