On pricing of interest rate derivatives

T. Di Matteo; M. Airoldi; E. Scalas

doi:10.1016/j.physa.2004.03.042

On pricing of interest rate derivatives

T. Di Matteo, M. Airoldi, E. Scalas^*

^*Corresponding author for this work

Research output: Contribution to journal › Conference article › peer-review

6 Citations (Scopus)

Abstract

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 behavior is illustrated using London interbank offered rate data, and a possible martingale pricing scheme is discussed.

Original language	English
Pages (from-to)	189-196
Number of pages	8
Journal	Physica A: Statistical Mechanics and its Applications
Volume	339
Issue number	1-2
DOIs	https://doi.org/10.1016/j.physa.2004.03.042
Publication status	Published - 1 Aug 2004
Event	Proceedings of the International Conference New Materials - Canberra, Vic., Australia Duration: 3 Nov 2003 → 7 Nov 2003

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10.1016/j.physa.2004.03.042

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title = "On pricing of interest rate derivatives",

abstract = "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 behavior is illustrated using London interbank offered rate data, and a possible martingale pricing scheme is discussed.",

keywords = "Derivative pricing, Econophysics, Interest rate",

author = "{Di Matteo}, T. and M. Airoldi and E. Scalas",

year = "2004",

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doi = "10.1016/j.physa.2004.03.042",

language = "English",

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journal = "Physica A: Statistical Mechanics and its Applications",

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note = "Proceedings of the International Conference New Materials ; Conference date: 03-11-2003 Through 07-11-2003",

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AU - Di Matteo, T.

AU - Airoldi, M.

AU - Scalas, E.

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Y1 - 2004/8/1

N2 - 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 behavior is illustrated using London interbank offered rate data, and a possible martingale pricing scheme is discussed.

AB - 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 behavior is illustrated using London interbank offered rate data, and a possible martingale pricing scheme is discussed.

KW - Derivative pricing

KW - Econophysics

KW - Interest rate

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U2 - 10.1016/j.physa.2004.03.042

DO - 10.1016/j.physa.2004.03.042

M3 - Conference article

SN - 0378-4371

VL - 339

SP - 189

EP - 196

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

IS - 1-2

T2 - Proceedings of the International Conference New Materials

Y2 - 3 November 2003 through 7 November 2003

ER -

On pricing of interest rate derivatives

Abstract

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