Anxin Liu

Shanghai University of Economics and Finance

  • Shanghai University of Economics and Finance

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Market Probability of Interest Rate Tick Movements

Number of pages: 43 Posted: 09 Aug 2022 Last Revised: 09 Sep 2022
Anxin Liu, Zhanyu Chen, Kai Zhang and Hongbiao Zhao
Shanghai University of Economics and Finance, London School of Economics & Political Science (LSE), UBS Investment Bank and Shanghai University of Finance and Economics
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Abstract:

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Policy rate, China's markets, Loan prime rate (LPR), Loan prime rate option, Delta negative binomial models, Delta negative binomial (DNB) distribution, Risk-neutral probability mass distribution, Incomplete market, Optimal martingale measure, Minimal entropy measure