Assessing the Effects of Variability in Interest Rate Derivative Pricing

bootstrap;term structure;spline;derivatives;interest-rates

Crotty, Michael Thomas ; Denis Pelletier, Committee Member,Sujit Ghosh, Committee Member,David Dickey, Committee Member,Peter Bloomfield, Committee Chair,Crotty, Michael Thomas ; Denis Pelletier ; Committee Member ; Sujit Ghosh ; Committee Member ; David Dickey ; Committee Member ; Peter Bloomfield ; Committee Chair

University:North Carolina State University

关键词: bootstrap;    term structure;    spline;    derivatives;    interest-rates;   

Others  :  https://repository.lib.ncsu.edu/bitstream/handle/1840.16/3886/etd.pdf?sequence=1&isAllowed=y

美国|英语

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