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Market Risk Analysis Volume III: Pricing, Hedging and Trading Financial Instruments by Carol Alexander

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Plate 1 Forward rate correlation estimates (Svensson model). (See Figure III.1.16)

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Plate 2 Forward rate correlation estimates (B-spline model). (See Figure III.1.17)

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Plate 3 Bank of England forward curve – correlations. (See Figure III.1.19)

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Plate 4 Forward rate historical correlations. (See Figure III.3.28)

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Plate 5 S&P 500 Implied volatility surface. (See Figure III.4.6)

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Plate 6 A swaption volatility surface. (See Figure III.4.7)

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Plate 7 Implied volatility surface for the option prices in Table III.4.4 (the horizontal axes here are strike K (84–120) and maturity T (40–150 days)). (See Figure III.4.8)

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Plate 8 Local volatility surface for the option prices in Table III.4.4 (the horizontal ...

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