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

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dc.contributor.authorElliott, R.
dc.contributor.authorVan Der Hoek, J.
dc.contributor.editorGeman, H.
dc.contributor.editorMadan, D.
dc.contributor.editorPliska, S.
dc.contributor.editorVorst, T.
dc.date.issued2002
dc.identifier.citationMathematical 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
dc.identifier.isbn354067781X
dc.identifier.urihttp://hdl.handle.net/2440/30776
dc.language.isoen
dc.publisherSpringer-Verlag
dc.publisher.placeBerlin, Heidelberg
dc.titleUsing the Hull and White two factor model in bank treasury risk management
dc.typeBook chapter
pubs.publication-statusPublished

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