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This paper presents a closed-form valuation model for managing fixed-income instruments in banking, particularly focusing on non-maturity deposits and credit card loans. The model utilizes discrete-time Fourier-Stieltjes transform analysis to address the complexities of embedded options and interest rate risk management in imperfectly competitive markets. It aims to enhance computation efficiency and provide analytical solutions for risk measures, hedge ratios, and earnings, particularly in the context of l

Author

ponmolecule6861

Language

EN