Masaki Nakabayashi

Mizuho Securities Co. Ltd

Tokyo

100-0004

Japan

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Calibration Methods of Hull-White Model

Number of pages: 43 Posted: 29 Nov 2009 Last Revised: 31 May 2010
Sebastien Gurrieri, Masaki Nakabayashi and Tony Wong
Mizuho Securities Co. Ltd - Mizuho International, Mizuho Securities Co. Ltd and affiliation not provided to SSRN
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Abstract:

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Hull-White, calibration, time-dependent, swaption