On pricing of interest rate derivatives
โ Scribed by T. Di Matteo; M. Airoldi; E. Scalas
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 442 KB
- Volume
- 339
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
which follow diffusion processes are assumed and the instantaneous interest rate, r Cy,), and the spot price, Sot,) are determined. One of the state variables may be a spot price. lIf the option is American, it can be exercised on or before the expiration date. If the option is European, it can be e
Interest rate is a fundamental determinant of asset prices in financial markets. Many stochastic models have been developed by academic researchers in the continuous-time setting (see, e.g., Vasicek [10], Brennan and Schwartz [1 ], Cox, Ingersoll and Ross ). These models provide a rich framework for
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 Rese
## Nabar prices, therefore, reflect equilibrium risk premiums. The bulk of the previous empirical studies that have attempted to gain insights into the determinants of the risk premiums in futures markets have applied methodologies built upon the equilibrium asset pricing models to both financial