NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan
53rd NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan
Session ID : 3B17
Conference information

OS22-2
A multi-variate rational lognormal model
*Nobuo Maeda
Author information
CONFERENCE PROCEEDINGS FREE ACCESS

Details
Abstract
The rational lognormal model is a one-variate interest rate derivative pricing model.We extend it to a multi-variate verion,and derive closed formulaefor pricing several kinds of interest rate derivativesin some special setting.
Content from these authors
© 2004 Committee for Mechanics and Structure,Science Council
Previous article Next article
feedback
Top