01-112/2 - The Valuation and Hedging of Variable Rate Savings Account

• Authors
  Frank de Jong, University of Amsterdam, CEPR; Jacco Wielhouwer, ING Group, CentER, Tilburg University
• Publication date
  November 22, 2001

• Keywords
  Term structure; duration; uncertain cash flow; variable rates of return
• JEL
  C33; E43