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 behavior is illustrated using London interbank offered rate data, and a possible martingale pricing scheme is discussed.

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Year of publication:	2004
Authors:	Di Matteo, T. ; Airoldi, M. ; Scalas, E.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 339.2004, 1, p. 189-196
Publisher:	Elsevier
Subject:	Interest rate \| Derivative pricing \| Econophysics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010872539