Pascal Damel, Nadège Ribau-Peltre. How to Model Repricable-Rate, Non-maturity Products in a Bank: Theoretical and Practical Replicating Portfolio. In Ngoc Thanh Nguyen, Bogdan Trawinski, Radoslaw Katarzyniak, GeunSik Jo, editors, Advanced Methods for Computational Collective Intelligence. Volume 457 of Studies in Computational Intelligence, pages 269-278, Springer, 2013. [doi]
Abstract is missing.