Modeling the Term Structure of Interest Rates

Modeling the Term Structure of Interest Rates
Author: Rajna Gibson
Publisher: Now Publishers Inc
Total Pages: 171
Release: 2010
Genre: Business & Economics
ISBN: 1601983727

Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.

The term structure of interests rates

The term structure of interests rates
Author: Diana Ruthenberg
Publisher: GRIN Verlag
Total Pages: 13
Release: 2006-04-14
Genre: Business & Economics
ISBN: 3638491285

Essay from the year 2004 in the subject Business economics - Investment and Finance, grade: 1.8, University of Plymouth (Business School), language: English, abstract: Firstly, this report will depict briefly what a bond is in general and how to evaluate its advantages and inconveniences for potential investors. Then it aims at to explain when and why the yield on long-term bonds often exceeds the yield on short-term bonds. The explanation will mainly be based on the three primary theories: the expectations hypothesis, the liquidity premium / preferred habitat theories and the market segmentation theory.

Interest Rate, Term Structure, and Valuation Modeling

Interest Rate, Term Structure, and Valuation Modeling
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
Total Pages: 530
Release: 2002-11-29
Genre: Business & Economics
ISBN: 047144698X

This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.

Estimating the Term Structure of Interest Rate Volatility in Extreme Values

Estimating the Term Structure of Interest Rate Volatility in Extreme Values
Author: Turan G. Bali
Publisher:
Total Pages:
Release: 2012
Genre:
ISBN:

This paper proposes an extreme value approach to estimating the term structure of interest rate volatility, and shows that the volatility of interest rate changes is overestimated by the standard approach that uses the thin-tailed normal distribution. The volatility of maximal and minimal changes in three-, six-, and twelve-month T-bill rates is estimated over the late 1950s through the end of 1999. The empirical results indicate that the volatility of daily changes in short rates obtained from the fat-tailed generalized error distribution is almost the same as the volatility of the extremes obtained from the generalized Pareto distribution.