C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T15:50:43+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 1999CC1C14C2C22GG1G13