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-PDF
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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| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Pricing interest rate derivatives in a non-parametric two-factor term-structure model / by John Knight, Fuchun Li and Mingwei Yuan. |
| Titre de la série | Bank of Canada working paper1701-939799-19 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Autres formats offerts | Papier-[Anglais] |
| 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. The ISBN (0-662-28327-9) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication. Résumé en français. |
| Information sur la publication | Ottawa - Ontario : Bank of Canada November 1999. |
| Description | 55p.graphs, references, tables |
| ISSN | 1701-9397 |
| Numéro de catalogue |
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| Descripteurs | Interest rates Models |
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