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How to Model Repricable-Rate, Non-maturity Products in a Bank: Theoretical and Practical Replicating Portfolio

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https://hal.univ-lorraine.fr/hal-03216817
Contributor : Nadège RIBAU-PELTRE Connect in order to contact the contributor
Submitted on : Tuesday, May 4, 2021 - 1:29:02 PM
Last modification on : Friday, February 11, 2022 - 11:52:51 AM

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Nadège Ribau-Peltre, Pascal Damel. How to Model Repricable-Rate, Non-maturity Products in a Bank: Theoretical and Practical Replicating Portfolio. Advanced Methods for Computational Collective Intelligence. Studies in Computational Intelligence, pp.269-278, 2013, ⟨10.1007/978-3-642-34300-1_26⟩. ⟨hal-03216817⟩

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