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Название: Pricing Interest-Rate Derivatives
Автор: Bouziane M.
In a hypothetical conversation between a trader in interest-rate derivatives and a quantitative analyst, Brigo and Mercurio (2001) let the trader answer about the pros and cons of short rate models: ”... we should be careful in thinking market models are the ﬁnal and complete solution to all problems in interest rate models ... and who knows, maybe short rate models will come back one day...”