On pricing of interest rate derivatives

Di Matteo, T, Airoldi, M and Scalas, E (2004) On pricing of interest rate derivatives. Physica A: Statistical Mechanics and its Applications, 339 (1-2). pp. 189-196. ISSN 0378-4371

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Abstract

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.

Item Type: Article
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Subjects: Q Science > QA Mathematics > QA0273 Probabilities. Mathematical statistics
Depositing User: Enrico Scalas
Date Deposited: 30 Sep 2014 14:55
Last Modified: 30 Sep 2014 14:55
URI: http://sro.sussex.ac.uk/id/eprint/50286
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