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Indexing Mixed Types for Approximate Retrieval
Indexing Mixed Types for Approximate Retrieval

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ACI Dealing Certificate syllabus
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... interest that banks pay for balances on their clients current accounts is much lower. And the difference between the two rates normally will not change a lot during the term of the loan. The interest rate for most loans is fixed, and the interest rate on current accounts is practically never revised ...
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The Valuation of Collateralised Debt Obligations - DORAS

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Lattice model (finance)



For other meanings, see lattice model (disambiguation)In finance, a lattice model [1] is a technique applied to the valuation of derivatives, where, because of path dependence in the payoff, 1) a discretized model is required and 2) Monte Carlo methods fail to account for optimal decisions to terminate the derivative by early exercise. For equity options, a typical example would be pricing an American option, where a decision as to option exercise is required at ""all"" times (any time) before and including maturity. A continuous model, on the other hand, such as Black Scholes, would only allow for the valuation of European options, where exercise is on the option's maturity date. For interest rate derivatives lattices are additionally useful in that they address many of the issues encountered with continuous models, such as pull to par.
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