Pricing interest rate derivatives in a non-parametric two-factor term-structure model / by John Knight, Fuchun Li and Mingwei Yuan. : FB3-2/99-19E
The non-parametric two-factor model can be employed to analyze the effects of monetary policy actions on the term structure... The empirical term-structure effects of monetary policy actions (control over the overnight rate and its volatility) can be estimated through the non-parametric technique developed in this paper.--Page 2
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Pricing interest rate derivatives in a non-parametric two-factor term-structure model / by John Knight, Fuchun Li and Mingwei Yuan. |
| Series title | Working paper1192-543499-19 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Paper |
| Other formats | Electronic-[English] |
| Note(s) | "The non-parametric two-factor model can be employed to analyze the effects of monetary policy actions on the term structure... The empirical term-structure effects of monetary policy actions (control over the overnight rate and its volatility) can be estimated through the non-parametric technique developed in this paper."--Page 2. Résumés en français |
| Publishing information | Ottawa - Ontario : Bank of Canada 1999. |
| Binding | Softcover |
| Description | 46p. : graphs, references, tables ; 28 cm. |
| ISBN | 0-662-28327-9 |
| ISSN | 1192-5434 |
| Catalogue number |
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| Subject terms | Interest rates Models |