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2007 Artikel The Lévy swap market model

The Lévy swap market model. Applied Mathematical Finance 14 (2) (2007) 171–196 (with J. Liinev) This is the author's version of the work. It is posted here by permission of Taylor & Francis for personal use, not for redistribution. The definitive version was published in Applied Mathematical Finance, Volume 14 Issue 2, May 2007. doi:10.1080/13504860600724950 (http://dx.doi.org/10.1080/13504860600724950).

levy-swap-200306.pdf — PDF document, 184Kb

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