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

Elliott, R.Van Der Hoek, J.Geman, H.Madan, D.Pliska, S.Vorst, T.2007-05-162007-05-162002Mathematical 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.269-280354067781Xhttp://hdl.handle.net/2440/30776enUsing the Hull and White two factor model in bank treasury risk managementBook chapter002002239259352