On pricing of interest rate derivatives
Copyright policy )On pricing of interest rate derivatives
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 LIBOR data, and a possible martingale pricing scheme is discussed.
9 pages, 13 figures
- King's College London United Kingdom
- Sapienza University of Rome Italy
- Australian National University Australia
- Mediobanca United Kingdom
- Kings College London, University of London United Kingdom
Mathematical models, Derivative pricing, Statistical Finance (q-fin.ST), Statistical Mechanics (cond-mat.stat-mech), Econophysics, Random processes, Quantitative Finance - Statistical Finance, FOS: Physical sciences, International trade, Keywords: Data reduction, Industrial economics, Condensed Matter - Other Condensed Matter, FOS: Economics and business, Probability density function, Mathematical operators, Finance, Condensed Matter - Statistical Mechanics, Risk assessment, Interest rate, Financial data processing Derivative pricing, Other Condensed Matter (cond-mat.other)
Mathematical models, Derivative pricing, Statistical Finance (q-fin.ST), Statistical Mechanics (cond-mat.stat-mech), Econophysics, Random processes, Quantitative Finance - Statistical Finance, FOS: Physical sciences, International trade, Keywords: Data reduction, Industrial economics, Condensed Matter - Other Condensed Matter, FOS: Economics and business, Probability density function, Mathematical operators, Finance, Condensed Matter - Statistical Mechanics, Risk assessment, Interest rate, Financial data processing Derivative pricing, Other Condensed Matter (cond-mat.other)
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