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Published in Quantitative finance (04.03.2015)
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Published in Quantitative finance (02.06.2016)
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Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
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Published in The journal of computational finance (01.07.2012)
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Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
Crepey, Stephane, Macrina, Andrea, Nguyen, Tuyet Mai, Skovmand, David
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Year of Publication 25.02.2015
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Affine LIBOR models with multiple curves: theory, examples and calibration
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Year of Publication 10.05.2014
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