Using the Hull and White two factor model in bank treasury risk management

Date

2002

Authors

Elliott, R.
Van Der Hoek, J.

Editors

Geman, H.
Madan, D.
Pliska, S.
Vorst, T.

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Book chapter

Citation

Mathematical finance - Bachelier Congress 2000. Selected papers from the First World Congress of the Bachelier Finance Society, Paris, June 29-July 1, 2000, 2002 / Geman, H., Madan, D., Pliska, S., Vorst, T. (ed./s), pp.269-280

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http://hdl.handle.net/2440/30776