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The impact of compounding on bond pricing with alternative reference rates : vimarsana.com
The impact of compounding on bond pricing with alternative reference rates
This paper looks at the impact of compounding on zero-coupon bond prices by considering the short rate when it follows a Gaussian diffusion process or a
Related Keywords
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Secured Overnight Financing Rate
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Sterling Overnight Interbank Average
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Ansonia
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Ofr
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Stochastic Volatility
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Ump Diffusion
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Monte Carlo Simulation
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Zero Coupon Bonds
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Original Research
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