Approximation of interest rate derivatives' prices by Gram-Charlier Expansion and bond moments /
Keiichi Tanaka, Takeshi Yamada and Toshiaki Watanabe

Description

Main Author

Tanaka, Keiichi, 1936-

Related Names

Watabe, Toshiaki, 1963-
Yamada, Takeshi
Nihon Ginkō. Kinʼyū Kenkyūjo

Language(s)

English

Published

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

Subjects

Capital market
Bond market > Bond market / Econometric models
Derivative securities > Derivative securities / Econometric models

Physical Description

25 p. : ill. ; 30 cm

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