On pricing of interest rate derivatives

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

*Corresponding author for this work

    Research output: Contribution to journalConference articlepeer-review

    6 Citations (Scopus)


    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 languageEnglish
    Pages (from-to)189-196
    Number of pages8
    JournalPhysica A: Statistical Mechanics and its Applications
    Issue number1-2
    Publication statusPublished - 1 Aug 2004
    EventProceedings of the International Conference New Materials - Canberra, Vic., Australia
    Duration: 3 Nov 20037 Nov 2003


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