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第 180 頁
Let B(t, r) be the discount bond price at time t with time to maturity t excluding a
speculative bubble, P(t, r) the discount bond price in the speculative bubble, f(t, t)
the forward rate in the presence of a speculative bubble (BGM notation), f(t, T) the
...
Let B(t, r) be the discount bond price at time t with time to maturity t excluding a
speculative bubble, P(t, r) the discount bond price in the speculative bubble, f(t, t)
the forward rate in the presence of a speculative bubble (BGM notation), f(t, T) the
...
第 188 頁
Equation (27) also implicitly guesses a relationship between the two market
prices A and x- Now, based on the framework of Jamshidian (1991), Babbs (1991
) and HJM (1992), the price of a pure discount bond in a speculative bubble
follows ...
Equation (27) also implicitly guesses a relationship between the two market
prices A and x- Now, based on the framework of Jamshidian (1991), Babbs (1991
) and HJM (1992), the price of a pure discount bond in a speculative bubble
follows ...
第 194 頁
Heath, D., R. Jarrow and A. Morton, "Bond pricing and the term structure of the
interest rates: A discrete time approximation," Journal of Financial and
Quantitative Analysis 4, 1990, 419-440. Heath D., R. Jarrow and A. Morton, "Bond
pricing ...
Heath, D., R. Jarrow and A. Morton, "Bond pricing and the term structure of the
interest rates: A discrete time approximation," Journal of Financial and
Quantitative Analysis 4, 1990, 419-440. Heath D., R. Jarrow and A. Morton, "Bond
pricing ...
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內容
A Difficult Tradeoff | 45 |
In Choi | 130 |
In Choi JangBong Choi Daekeun Park Anticipated Devaluation under Capital | 143 |
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