Pricing interest rate derivatives in a non-parametric two-factor term-structure model
By: by John Knight, Fuchun Li, Mingwei Yuan.
Contributors: Li, Fu-chʻun.; Yuan, Mingwei, 1965-; Bank of Canada.
Series: Bank of Canada working paper -- 99-19; Working paper (Bank of Canada) -- 99-19.
Publisher: Bank of Canada
Published: 1999
Place of publication: [Ottawa]
Language: eng
Number of pages: 46
Notes: Distributed by the Government of Canada Depository Services Program.

Includes bibliographical references: p. 43-46.

Includes abstract in French.