On Pricing of Interest Rate Derivatives
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.
|Collections||ANU Research Publications|
|Source:||Physica A: Statistical mechanics and its applications|