Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T10:11:29+00:00Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model
https://www.bankofcanada.ca/1999/11/working-paper-1999-19/
Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in pricing options and other derivative securities. In contrast to the standard parametric two-factor models, we propose a non-parametric two-factor term-structure model that […]1999-11-14T11:08:54+00:00enPricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model1999-11-14Econometric and statistical methodsMarket structure and pricingWorking Paper 1999-19 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-19.pdfPricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure ModelJohn KnightFuchun LiMingwei YuanNovember 1999CC1C14C2C22GG1G13Estimating One-Factor Models of Short-Term Interest Rates
https://www.bankofcanada.ca/1999/11/working-paper-1999-18/
There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […]1999-11-04T10:41:22+00:00enEstimating One-Factor Models of Short-Term Interest Rates1999-11-04Financial marketsInterest ratesWorking Paper 1999-18 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-18.pdfEstimating One-Factor Models of Short-Term Interest RatesDes Mc ManusDavid WattNovember 1999CC5C52GG1G10The Regulation of Central Securities Depositories and the Linkages between CSDs and Large-Value Payment Systems
https://www.bankofcanada.ca/1999/11/technical-report-no87/
This paper first describes the Bank of Canada's approach to the design of large-value clearing and settlement systems. It then examines the way the Bank has operated under the Payment Clearing and Settlement Act, passed by Parliament in July 1996.1999-11-01T09:02:10+00:00enThe Regulation of Central Securities Depositories and the Linkages between CSDs and Large-Value Payment Systems1999-11-01Payment clearing and settlement systemsTechnical Report 87 https://www.bankofcanada.ca/wp-content/uploads/2010/01/tr87.pdfThe Regulation of Central Securities Depositories and the Linkages between CSDs and Large-Value Payment SystemsCharles FreedmanNovember 1999GG2G20