On pricing of interest rate derivatives

被引：6
|
作者：
Di Matteo, T
Airoldi, M
Scalas, E
机构：
[1] Univ Piemonte Orientale, Dipartimento Sci & Tecnol Avanzate, I-15100 Alessandria, Italy
[2] Australian Natl Univ, Res Sch Phys Sci & Engn, Dept Math Appl, Canberra, ACT 0200, Australia
[3] Mediobanca SpA, Milan, Italy
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2004年 / 339卷 / 1-2期
关键词：
interest rate; derivative pricing; econophysics;
D O I：
10.1016/j.physa.2004.03.042
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
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. (C) 2004 Elsevier B.V. All rights reserved.
引用
收藏
页码：189 / 196
页数：8
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