Handbook of Finance: Valuation, Financial Modeling, and Quantitative Tools

REFERENCES

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R-R. Chen (1996). Understanding and Managing Interest Rate Risks. Singapore: World Scientific Publishing Company.

D. Duffie, and K. J. Singleton (1999). Modeling term structures of defaultable bonds. Review of Financial Studies 12, 4: 687–720.

F. Jamshidian (1987). Pricing of contingent claims in the one factor term structure model. New York: Merrill Lynch Capital Market.