Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/158967
Authors: 
Cesari, Riccardo
Year of Publication: 
1991
Series/Report no.: 
Quaderni - Working Paper DSE 124
Abstract: 
In the two-factor economy developed by Longstaff and Schwartz (1991) forward and futures prices of default-free bills and bonds are obtained and maturity effects analysed. It is shown that the relationship between futures price volatility and maturity is stochastic so that, as it may be seen through dynamic simulations over the 80s, the classical monotonic relation could sometimes be reversed.
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Working Paper

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