Lorenzo Sevini

University of Bologna - Department of Economics

Strada Maggiore 45

Bologna, 40125

Italy

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Scholarly Papers (1)

1.

Using Options to Forecast LIBOR

Number of pages: 28 Posted: 11 Sep 2004
Riccardo Cesari and Lorenzo Sevini
University of Bologna - Department of Mathematics for Economic and Social Sciences and University of Bologna - Department of Economics
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Abstract:

Option pricing, futures-style, smile, risk-neutral probability density, interest rate forecast