Market structure and microstructure, in international interest rate futures markets
β Scribed by Frank McGroarty; Owain ap Gwilym; Steve Thomas
- Book ID
- 113877834
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 204 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0275-5319
No coin nor oath required. For personal study only.
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We thank Robert Webb (the Editor) and an anonymous referee for their extremely helpful comments and suggestions. We are also grateful to David Simon for his detailed discussion of an earlier version presented at the 2008 European Financial Management Annual Conference. The usual disclaimer applies.
## Abstract We propose a generalization of the Shirakawa (1991) model to capture the jump component in fixedβincome markets. The model is formulated under the Heath, Jarrow, & Morton (1992) framework, and allows the presence of a Wiener noise and a finite number of Poisson noises, each associated w