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On pricing of interest rate derivatives

journal contribution
posted on 2023-06-08, 18:26 authored by T Di Matteo, M Airoldi, Enrico Scalas
At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic behaviour is illustrated using LIBOR data, and a possible martingale pricing scheme is discussed.

History

Publication status

  • Published

Journal

Physica A: Statistical Mechanics and its Applications

ISSN

0378-4371

Publisher

Elsevier

Issue

1-2

Volume

339

Page range

189-196

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2014-09-30

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