Simon Lalancette

HEC Montreal

Full Professor

3000 Chemin de la Cote-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

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Scholarly Papers (1)

1.

Monetary Policy and Interest Rate Caps: A Regime-Shift Approach

Number of pages: 43 Posted: 27 Jun 2012
Geneviève Gauthier, Simon Lalancette and René Ferland
HEC Montreal - Department of Decision Sciences, HEC Montreal and University of Quebec at Montreal
Downloads 58 (368,641)

Abstract:

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Target rate, Regime-shift, Markov chain, Risk-neutral valuation, Option caps