Interest rate derivatives and the market price of risk

被引：0
|
作者：
Nojumi, MH [1 ]
机构：
[1] Univ Delaware, Newark, DE 19716 USA
来源：
6TH WORLD MULTICONFERENCE ON SYSTEMICS, CYBERNETICS AND INFORMATICS, VOL XIII, PROCEEDINGS: CONCEPTS AND APPLICATIONS OF SYSTEMICS, CYBERNETICS AND INFORMATICS III | 2002年
关键词：
interest rate derivatives; financial risk; bonds; yield curve; market risk analysis; option pricing;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
A mathematical discussion of a way to price "risk" in the financial markets is presented, through pricing of interest rate derivatives. For this, zero-coupon bonds are used because of their ubiquity in the financial markets and the relative straightforwardness of their valuation.
引用
收藏
页码：125 / 129
页数：5
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