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Arbitrage free pricing of interest rate futures and forward contracts

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  • Bjorn Flesaker

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  • Bjorn Flesaker, 1993. "Arbitrage free pricing of interest rate futures and forward contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(1), pages 77-91, February.
  • Handle: RePEc:wly:jfutmk:v:13:y:1993:i:1:p:77-91
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    Cited by:

    1. Abraham Lioui & Patrice Poncet, 2000. "The Minimum Variance Hedge Ratio Under Stochastic Interest Rates," Management Science, INFORMS, vol. 46(5), pages 658-668, May.
    2. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, June.
    3. 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.
    4. repec:oup:revfin:v:21:y:2017:i:3:p:987-1022. is not listed on IDEAS
    5. 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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