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Brigo, Damiano, Capponi, Agostino, Pallavicini, Andrea, and Vasileios Papatheodorou. “Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting.†SSRN working paper, 2011. http://ssrn.com/abstract=1744101.
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Mercurio, Fabio. 2010. “Modern Libor Market Models: Using Different Curves for Projecting Rates and for Discounting.†International Journal of Theoretical and Applied Finance 13 (1): 113-137.
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Michaud, François-Louis, and Christian Upper. “What drives interbank rates? Evidence from the Libor panel.†BIS Quarterly Review, 2008. http://www.bis.org/publ/qtrpdf/r_qt0803f.htm.
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