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APL2 implementation of an interest rate volatility model
APL2 implementation of an interest rate volatility model
1989
William G. Foote
James R. Kraemer
Keywords:
Vasicek model
Theoretical computer science
Financial economics
Interest rate
Nominal interest rate
Fisher hypothesis
Computer science
Real interest rate
Volatility (finance)
Rendleman–Bartter model
Implied volatility
Econometrics
interest rate volatility
Correction
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