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
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.614989&sl=0
| Department/Agency |
|
|---|---|
| Title | Pricing interest rate derivatives in a non-parametric two-factor term-structure model / by John Knight, Fuchun Li and Mingwei Yuan. |
| Series title |
|
| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Physical text |
| Other formats | Digital text-[English] |
| Note(s) |
|
| Publishing information |
|
| Binding | Softcover |
| Description | 46p. : graphs, references, tables ; 28 cm. |
| ISBN | 0-662-28327-9 |
| ISSN | 1192-5434 |
| Catalogue number |
|
| Subject terms |
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.Page details
- Date modified: