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Modelling the Implied Volatility of Options on Long Gilt Futures

✍ Scribed by Chris Brooks; M. Currim Oozeer

Book ID
108567955
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
175 KB
Volume
29
Category
Article
ISSN
0306-686X

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## Abstract Both the UK spot and futures markets in short‐term interest rates are found to react strongly to surprises in the scheduled announcements of the repo rate and RPI. Therefore, these announcements should also affect the market for options on short‐term interest rate futures. Because the r