Working Paper 90-29. A Simple Approach to Interest Rate Option Pricing

Working Paper 90-29. A Simple Approach to Interest Rate Option Pricing
Author: Queen's University. School of Business. Research Program
Publisher:
Total Pages:
Release: 1990
Genre:
ISBN:

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Working Paper 90-29. A Simple Approach to Interest Rate Option Pricing
Language: en
Pages:
Authors: Queen's University. School of Business. Research Program
Categories:
Type: BOOK - Published: 1990 - Publisher:

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A Simple Approach to Interest Rate Option Pricing
Language: en
Pages: 29
Authors: Stuart McLean Turnbull
Categories:
Type: BOOK - Published: 1990 - Publisher: Kingston, Ont. : School of Business, Queen's University

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A Simple Approach to Bond Option Pricing
Language: en
Pages:
Authors: Jason Zhanshun Wei
Categories:
Type: BOOK - Published: 1998 - Publisher:

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Many authors have derived closed-form formulas for European options on discount bonds within a one-factor interest rate framework. The only known formula for Eu
Pricing Interest Rate Derivatives with Arbitrary Skewness and Kurtosis
Language: en
Pages: 31
Authors: Sanjiv R. Das
Categories:
Type: BOOK - Published: 1995 - Publisher:

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Term structure models employing jump-diffusion processes may be used to accommodate the observed skewness and kurtosis of interest rates. This paper extends the
Interest Rate Markets
Language: en
Pages: 373
Authors: Siddhartha Jha
Categories: Business & Economics
Type: BOOK - Published: 2011-02-11 - Publisher: John Wiley & Sons

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How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. T