Approximation of interest rate derivatives' prices by Gram-Charlier expansion and bond moments

Bibliographic Information

Approximation of interest rate derivatives' prices by Gram-Charlier expansion and bond moments

Keiichi Tanaka, Takeshi Yamada and Toshiaki Watanabe

(IMES discussion paper series, no. 2005-E-16)

Institute for Monetary and Economic Studies, Bank of Japan, 2005

Available at  / 4 libraries

Search this Book/Journal

Note

Cover title

Bibliography: p. 24

Related Books: 1-1 of 1

Details

Page Top