The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship

Author： DEGUILLAUME NICK   REBONATO RICCARDO   POGUDIN ANDREY  

Publisher： Routledge Ltd

ISSN： 1469-7688

Source： Quantitative Finance, Vol.13, Iss.3, 2013-03, pp. : 351-367

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