On pricing of interest rate derivatives

Details On pricing of interest rate derivatives On pricing of interest rate derivatives

2004-01-23

arxiv.org/abs/cond-mat/0401445v1

Physica A 339 (2004) 189-196

Physics

Condensed Matter

Statistical Mechanics

9 pages, 13 figures

Scientific paper

10.1016/j.physa.2004.03.042

At present, there is an explosion of practical interest in the pricing of
interest rate (IR) derivatives. Textbook pricing methods do not take into
account the leptokurticity of the underlying IR process. In this paper, such a
leptokurtic behaviour is illustrated using LIBOR data, and a possible
martingale pricing scheme is discussed.

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