Fuchun Li

University College of the Cariboo

900 McGill Road

Kamloops, British Columbia V2C 5N3

Canada

  • University College of the Cariboo

SCHOLARLY PAPERS

2

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394

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Scholarly Papers (2)

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1.

Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model

Bank of Canada Working Paper No. 99-19
Number of pages: 55 Posted: 30 Nov 1999
John Knight, Fuchun Li and Mingwei Yuan
University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased), University College of the Cariboo and Bank of Canada - Department of Monetary and Financial Analysis
Downloads 394 (75,978)

Abstract:

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2.

A Semiparametric Two-Factor Term Structure Model

Journal of Financial Econometrics, Vol. 4, No. 2, pp. 204-237, 2006
Posted: 29 Feb 2008
John Knight, Fuchun Li and Mingwei Yuan
University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased), University College of the Cariboo and affiliation not provided to SSRN

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nonparametric kernel estimation, diffusion process, discrete-time sampling, pricing derivative securities, two-factor term structure model