Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures
Year of publication: |
2005-09-27
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Authors: | Henrard, Marc |
Institutions: | EconWPA |
Subject: | Australian dollar bills futures | convexity adjustment | delivery option | HJM one-factor model |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf; pages: 6. Draft version, comments welcome 6 pages |
Classification: | G13 - Contingent Pricing; Futures Pricing ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
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