Mean Rate Shifts And Alternative Models Of The Interest Rate
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Author | : Sanjiv R. Das |
Publisher | : |
Total Pages | : 39 |
Release | : 1994 |
Genre | : |
ISBN | : |
This paper develops and empirically implements a two-factor model of the term structure of interest rates. In addition to the short rate, the additional factor is the mean level of the interest rate. Closed-form solutions for bond prices where the mean follows either a jump process or a diffusion process are provided. The model has sufficiently general theoretical foundations to enable estimation of the time path of the mean interest rate level without specifying a functional form for the stochastic behavior of the mean level. This constitutes a simple methodology which exploits the mathematical structure of the partial differential equations defining bond prices. The pricing performance of the model relative to other models is assessed. The model is also able to capture features of the long end of the term structure.
Author | : Mr.William Lee |
Publisher | : International Monetary Fund |
Total Pages | : 30 |
Release | : 1994-10-01 |
Genre | : Business & Economics |
ISBN | : 145185465X |
This paper assesses the relative importance of alternative explanations for the rise in long-term interest rates in the United States from October 1993 to April 1994. Standard econometric models of the term structure are shown to have a structural break in the early 1980s. An important reason for this change in the traditional term structure relationship appears to be an increase in the responsiveness of long-term rates to changes in the stance of monetary policy. Augmented term structure models that explicitly incorporate the role of monetary policy in determining the level of long-term rates are then constructed. These models track variations in the long-term rate better than traditional term structure models, but still leave a significant fraction of the recent increase in long-term rates unexplained.
Author | : Xin Bo |
Publisher | : |
Total Pages | : 0 |
Release | : 2006 |
Genre | : Interest rates |
ISBN | : |
The paper proposes a procedure for testing the alternative continuous time models of short term riskless interest rates. Parameters estimation and models comparison are presented using the Generalized Method of Moments. An empirical research to LIBOR in US dollar is given and found that the volatility of interest rate changes is to be less sensitive to the interest rate levels in contrast to previous findings. In addition the Brennan-Schwartz model is suggested to be superior to the others in term of data fit under daily observations, and CIR SR model cannot be rejected.
Author | : René Carmona |
Publisher | : Springer Science & Business Media |
Total Pages | : 236 |
Release | : 2007-05-22 |
Genre | : Mathematics |
ISBN | : 3540270671 |
This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM
Author | : Basma Bekdache |
Publisher | : |
Total Pages | : 41 |
Release | : 1994 |
Genre | : |
ISBN | : |
Author | : |
Publisher | : Lulu.com |
Total Pages | : 294 |
Release | : 2004 |
Genre | : Bank capital |
ISBN | : 9291316695 |
Author | : Ken O. Kortanek |
Publisher | : John Wiley & Sons |
Total Pages | : 248 |
Release | : 2001-11-28 |
Genre | : Business & Economics |
ISBN | : |
This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.
Author | : Takashi Yasuoka |
Publisher | : Bentham Science Publishers |
Total Pages | : 325 |
Release | : 2018-05-09 |
Genre | : Business & Economics |
ISBN | : 1681086891 |
Interest Rate Modeling for Risk Management presents an economic model which can be used to compare interest rate and perform market risk assessment analyses. The key interest rate model applied in this book is specified under real-world measures, and the result is used as to generate scenarios for interest rates. The book introduces a theoretical framework that allows estimating the market price of interest rate risk. For this, the book starts with a brief explanation of stochastic analysis, and introduces interest rate models such as Heath-Jarrow-Morton, Hull-White and LIBOR models. The real-world model is then introduced in subsequent chapters. Additionally, the book also explains some properties of the real-world model, along with the negative price tendency of the market price for risk and a positive market price of risk (with practical examples). Readers will also find a handy appendix with proofs to complement the numerical methods explained in the book. This book is intended as a primer for practitioners in financial institutions involved in interest rate risk management. It also presents a new perspective for researchers and graduates in econometrics and finance on the study of interest rate models. The second edition features an expanded commentary on real world models as well as additional numerical examples for the benefit of readers.
Author | : Li-Hsueh Chen |
Publisher | : |
Total Pages | : 248 |
Release | : 1998 |
Genre | : |
ISBN | : |
Author | : Zorana Grbac |
Publisher | : Springer |
Total Pages | : 151 |
Release | : 2015-12-26 |
Genre | : Mathematics |
ISBN | : 3319253859 |
Filling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets. Concerning this new development, there presently exist only research articles and two books, one of them an edited volume, both being written by researchers working mainly in practice. The aim of this book is to concentrate primarily on the methodological side, thereby providing an overview of the state-of-the-art and also clarifying the link between the new models and the classical literature. The book is intended to serve as a guide for graduate students and researchers as well as practitioners interested in the paradigm change for fixed income markets. A basic knowledge of fixed income markets and related stochastic methodology is assumed as a prerequisite.