Coutant, Sophie; Jondeau, Eric; Rockinger, Michael - C.E.P.R. Discussion Papers - 1998
The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR, as well as of Notional interest rate futures options, and to investigate how traders react to a political event. We first focus on five dates surrounding the 1997 snap election and...