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Economics / Options / Fixed income market / Investment / Swaption / Interest rates / Implied volatility / Yield curve / Interest rate derivative / Financial economics / Mathematical finance / Finance


Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?∗ Massoud Heidari†
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Document Date: 2009-05-21 17:41:41

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City

New York / /

Company

Lehman Brothers / Caspian Capital Management LLC / /

Continent

Americas / /

Country

United States / /

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Facility

Fordham University / /

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Organization

Graduate School / Fordham University / US Treasury / /

Person

Ayman Hindy / Tong Yao / Karl Kolderup / Knez / Markus Leippold / Alexander / Chamberlain / Maurice Chen / William Dellal / Silverio Foresi / Massoud Heidari / Enlin Pan / Johnson / Huang / /

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Position

model for option pricing / /

ProgrammingLanguage

E / K / /

ProvinceOrState

New York / /

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http /

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