Arbitrage free pricing of interest rate futures and forward contracts
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- Abraham Lioui & Patrice Poncet, 2000. "The Minimum Variance Hedge Ratio Under Stochastic Interest Rates," Management Science, INFORMS, vol. 46(5), pages 658-668, May.
- Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, June.
- Ramaprasad Bhar & Carl Chiarella, 1997.
"Interest rate futures: estimation of volatility parameters in an arbitrage-free framework,"
Applied Mathematical Finance,
Taylor & Francis Journals, vol. 4(4), pages 181-199.
- Ram Bhar & Carl Chiarella, 1995. "Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework," Working Paper Series 55, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- repec:oup:revfin:v:21:y:2017:i:3:p:987-1022. is not listed on IDEAS
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
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