Erschienen in:U. of Technology, Sydney Finance and Economics Working Paper ; No. 56
Umfang:
1 Online-Ressource (33 p)
Sprache:
Nicht zu entscheiden
DOI:
10.2139/ssrn.882666
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 1995 erstellt
Beschreibung:
The volatility structure of 90-day bill futures traded on the the Sydney Futures Exchange is analysed within the framework of the Heath-Jarrow-Morton model. The method involves characterisation of the transition probability density function for the forward rate process represented by the stochastic differential equation in the arbitrage-free economy. Maximisation of the likelihood function then results in the estimates of the parameters of the volatility function. The volatility function is also used in a simulation of the preference-free stochastic differential equation for bill prices