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Arbitrage free pricing of interest rate futures and forward contracts

✍ Scribed by Bjorn Flesaker

Publisher: John Wiley and Sons
Year: 1993
Tongue: English
Weight: 839 KB
Volume: 13
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990130108

No coin nor oath required. For personal study only.

✦ Synopsis

This article is based on the first chapter of the author's doctoral dissertation at the University of California at Berkeley. Thanks are due to the dissertation committee members: Gerard Gennotte, Hayne Leland, Pravin Varaiya, and especially, David Modest. Funding from the Norwegian Council for Research in Social Science and the Humanities is gratefully acknowledged.

'This is the futures contract on the Eurodollar time deposit rate that is traded at the Chicago Mercantile exchange.

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