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Interest rate convexity in a Gaussian framework

Antoine Jacquier† Department of Mathematics, Imperial College London, London, UK;‡ The Alan Turing Institute, London, UKCorrespondence[email protected]
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Mugad Oumgari§ University College London, London, UK;¶ Lloyds Banking, London, UKView further author information
Received 14 Aug 2023, Accepted 11 May 2024, Published online: 13 Jun 2024

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