Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
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Publication:4541546
DOI10.1080/135048697334737zbMath1009.91021OpenAlexW2173372201MaRDI QIDQ4541546
Ramaprasad Bhar, Carl Chiarella
Publication date: 4 September 2002
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/135048697334737
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- Better Bootstrap Confidence Intervals
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- WHEN IS THE SHORT RATE MARKOVIAN?
- Delta, gamma and bucket hedging of interest rate derivatives
- Pricing Interest-Rate-Derivative Securities
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