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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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Publication information
Department/Agency
  • Bank of Canada.
TitlePricing interest rate derivatives in a non-parametric two-factor term-structure model / by John Knight, Fuchun Li and Mingwei Yuan.
Series title
  • Bank of Canada working paper 1701-9397 99-19
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Other formatsPhysical text-[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.
  • 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.
Publishing information
  • Ottawa - Ontario : Bank of Canada November 1999.
Description55p.graphs, references, tables
ISSN1701-9397
Catalogue number
  • FB3-2/99-19E-PDF
Subject terms
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