An empirical examination of the convexity bias in the pricing of interest rate swaps
By: Anurag Gupta, Marti G. Subrahmanyam
Contributors: Subrahmanyam, Marti G., 1946-; New York University. Salomon Center
Series: Working paper series -- S-98-27; Working paper series (New York University. Salomon Center) -- S-98-27
Publisher: New York University Salomon Center
Published: 1998
Place of publication: New York, N.Y
Language: eng
Number of pages: 65
Subjects: Interest rate swaps; Valuation; Mathematical models
Notes: "Current version: March 1998."

Includes bibliographical references (p. 34-36).