On pricing of interest rate derivatives

Preprint OPEN
T. Di Matteo; M. Airoldi; E. Scalas;
  • Related identifiers: doi: 10.1016/j.physa.2004.03.042
  • Subject: Condensed Matter - Statistical Mechanics | Condensed Matter - Other Condensed Matter | Quantitative Finance - Statistical Finance

At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic behaviour is illustrated using ... View more
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