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Black–Karasinski model
Known as:
Black-Karasinski model
In financial mathematics, the Black–Karasinski model is a mathematical model of the term structure of interest rates; see short rate model. It is a…
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Related topics
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9 relations
Binomial options pricing model
Hull–White model
Mathematical model
Numerical method
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Semantic Scholar uses AI to extract papers important to this topic.
2007
2007
Competing Risks Model for Corporate Exit Analysis : Discrete Hazard Model and Extension with Stochastic Frailties
Taehan Bae
,
R. Kulperger
,
C. Bernard
2007
Corpus ID: 37411468
Publicly traded companies can leave a public system by bankruptcy or an exit due to merger. Discrete sub-hazard functions are…
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2007
2007
Moments of a Regime-Switching Stochastic Interest Rate Model With Randomized Regimes
Fsa James G. Bridgeman
2007
Corpus ID: 45304247
Prior work indicates that a regime-switching stochastic model with randomized regime parameters creates a more plausible set of…
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2005
2005
구조화 채권의 가격 결정에 관한 연구 : Black-karasinski(1991) 모형의 응용 = A study on the valuation of structured notes : using black-karasinski model
김성화
,
Sung-hwa Kim
2005
Corpus ID: 158640919
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