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On Pricing of Interest Rate Derivatives

Di Matteo, Tiziana; Airoldi, M; Scalas, Enrico

Description

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 behavior is illustrated using London interbank offered rate data, and a possible martingale pricing scheme is discussed.

CollectionsANU Research Publications
Date published: 2004
Type: Journal article
URI: http://hdl.handle.net/1885/77456
Source: Physica A: Statistical mechanics and its applications
DOI: 10.1016/j.physa.2004.03.042

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