Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
نویسندگان
چکیده
منابع مشابه
Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
Hedging interest rate exposures using interest rate futures contracts requires some knowledge of the volatility function of the interest rates. Use of historical data as well as interest rate options like caps and swaptions to estimate this volatility function have been proposed in the literature. In this paper the interest rate futures price is modelled within an arbitrage-free framework for a...
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ژورنال
عنوان ژورنال: Applied Mathematical Finance
سال: 1997
ISSN: 1350-486X,1466-4313
DOI: 10.1080/135048697334737