Approximation of interest rate derivatives' prices by Gram-Charlier expansion and bond moments

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Bibliographic Information

Title
"Approximation of interest rate derivatives' prices by Gram-Charlier expansion and bond moments"
Statement of Responsibility
Keiichi Tanaka, Takeshi Yamada and Toshiaki Watanabe
Publisher
  • Institute for Monetary and Economic Studies, Bank of Japan
Publication Year
  • 2005
Book size
30 cm

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Notes

Cover title

Bibliography: p. 24

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