On pricing of interest rate derivatives

T. Di Matteo, M. Airoldi and Enrico Scalas

Papers from arXiv.org

Abstract: 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 behaviour is illustrated using LIBOR data, and a possible martingale pricing scheme is discussed.

Date: 2004-01
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Citations: View citations in EconPapers (2)

Published in Physica A 339 (2004) 189-196

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