Bond price representations and the volatility of spot interest rates
β Scribed by Peter Ritchken; L. Sankarasubramanian
- Publisher
- Springer US
- Year
- 1996
- Tongue
- English
- Weight
- 462 KB
- Volume
- 7
- Category
- Article
- ISSN
- 0924-865X
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
he volatility of interest rates has increased markedly since October of 1979, T leading to a tremendous surge in the volume of trading in interest rate futures. Investigating the effects of the increased volume on the hedging peaormance of futures contracts, Hegde (1982) finds that the hedging effe
A market with many traders clears at a single price. The intuition that such a market can be modeled as a multiple access channel with many source inputs and a single output is confirmed and supported by single stock trading data. If all stocks in an exchange with a price index are so traded, then t