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
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.614989&sl=1
| 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 | Working paper1192-543499-19 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Papier |
| Autres formats offerts | Électronique-[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. Résumés en français |
| Information sur la publication | Ottawa - Ontario : Bank of Canada 1999. |
| Reliure | Softcover |
| Description | 46p. : graphs, references, tables ; 28 cm. |
| ISBN | 0-662-28327-9 |
| ISSN | 1192-5434 |
| Numéro de catalogue |
|
| Descripteurs | Interest rates Models |
Demander des formats alternatifs
Pour demander une publication dans un format alternatif, remplissez le formulaire électronique des publications du gouvernement du Canada. Utilisez le champ du formulaire «question ou commentaire» pour spécifier la publication demandée.- Date de modification :