Listagem FGV EPGE - Ensaios Econômicos por Título "Estimating the term structure of volatility and fixed income derivative pricing"

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Estimating the term structure of volatility and fixed income derivative pricing

Issler, João Victor
1995-10

Estimating the parameters of the instantaneous spot interest rate process is of crucial importance for pricing fixed income derivative securities. This paper presents an estimation for the parameters of the Gaussian interest ...