An empirical analysis of the jarrow-van deventer model for valuing non-maturity demand deposits

Journal of Derivatives

Volumn 7, Issue 1, 1999, Pages 8-31

  Janosi, Tibor ^a   Jarrow, Robert ^a   Zullo, Ferdinando ^b  

^a Cornell University ^*  (Japan)

^b MCGILL UNIVERSITY   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84970978046     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.1999.319107     Document Type: Article

References (11)

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7. Jarrow, R., and D. Madan. "Arbitrage, Martingales and Private Monetary Value." Working paper, Cornell University, 1999.
8. Jarrow, R., and S. Turnbull. Derivative Securities. Cincinnati: South-Western Publishers, 1996.
9. Jarrow, R., and D. van Deventer. "The Arbitrage-Free Valuation and Hedging of Demand Deposits and Credit Card Loans." Journal of Banking and Finance, 22 (1998), pp. 249-272.
10. Johnston, J. Econometric Models, 2nd Edition. New York: McGraw-Hill, 1972.
11. Maddala, G.S. Introduction to Econometrics, 2nd Edition. Englewood Cliffs, NJ: Prentice Hall, 1992.