Ramaprasad Bhar, Carl Chiarella. Interest rate futures: estimation of volatility parameters in an arbitrage-free framework. In Proceedings of the IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering, CIFEr 1996, New York City, USA, March 24-26, 1996. pages 168-182, IEEE, 1996. [doi]
Abstract is missing.