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Author : Nuno Cassola
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (522 download)
Download or read book A Two-factor Model of the German Term Structure of Interest Raes written by Nuno Cassola and published by . This book was released on 2001 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nuno Cassola
Publisher :
ISBN 13 :
Total Pages : 63 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Two-Factor Model of the German Term Structure of Interest Rates written by Nuno Cassola and published by . This book was released on 2004 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we show that a two-factor constant volatility model provides an adequate description of the dynamics and shape of the German term structure of interest rates from 1972 up to 1998. The model also provides reasonable estimates of the volatility and term premium curves. Following the conjecture that the two factors driving the German term structure of interest rates represent the ex-ante real interest rate and the expected inflation rate, the identification of one factor with expected inflation is discussed. Our estimates are obtained using a Kalman filter and a maximum likelihood procedure including in the measurement equation both the yields and their volatilities.
Author : Manuel Moreno (Economista)
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (84 download)
Download or read book A Two-mean Reverting-factor Model of the Term Structure of Interest Rates written by Manuel Moreno (Economista) and published by . This book was released on 1997 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tom Vinaimont
Publisher :
ISBN 13 :
Total Pages : 155 pages
Book Rating : 4.:/5 (315 download)
Download or read book The Performance of One-versus Two-factor Models of the Term Structure of Interest Rates written by Tom Vinaimont and published by . This book was released on 2003 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Constantin Zopounidis
Publisher : Springer Science & Business Media
ISBN 13 : 0387766820
Total Pages : 494 pages
Book Rating : 4.3/5 (877 download)
Download or read book Handbook of Financial Engineering written by Constantin Zopounidis and published by Springer Science & Business Media. This book was released on 2010-07-25 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.
Author : Youngsoo Choi
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (13 download)
Download or read book A Simple Model of the Nominal Term Structure of Interest Rates written by Youngsoo Choi and published by . This book was released on 2013 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a simple two-factor model of nominal term structure of interest rates, in which the log-price kernel has an autoregressive drift process and a nonlinear GARCH volatility process. Given these two state-variable processes, closed-form expressions are derived for the zero-coupon bond prices and the yield to maturity for a given time to maturity.
Author : Manuel Moreno
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (373 download)
Download or read book A Two-mean Reverting-factor Model of the Term Structure of Interest Rates written by Manuel Moreno and published by . This book was released on 1996 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian L. Dunis
Publisher : John Wiley & Sons
ISBN 13 : 0470871342
Total Pages : 426 pages
Book Rating : 4.4/5 (78 download)
Download or read book Applied Quantitative Methods for Trading and Investment written by Christian L. Dunis and published by John Wiley & Sons. This book was released on 2004-01-09 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. Fills the gap for a book on applied quantitative investment & trading models Provides details of how to combine various models to manage and trade a portfolio
Author : Wolfgang Lemke
Publisher : Springer Science & Business Media
ISBN 13 : 3540283447
Total Pages : 224 pages
Book Rating : 4.5/5 (42 download)
Download or read book Term Structure Modeling and Estimation in a State Space Framework written by Wolfgang Lemke and published by Springer Science & Business Media. This book was released on 2005-12-08 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the University of Bielefeld, Germany. It was accepted as a Ph.D. thesis titled "Term Structure Modeling and Estimation in a State Space Framework" at the Department of Economics of the University of Bielefeld in November 2004. It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work. First of all, I would like to express my gratitude to my advisor Professor Joachim Frohn, not only for his guidance and advice throughout the com pletion of my thesis but also for letting me have four very enjoyable years teaching and researching at the Institute for Statistics and Econometrics. I am also grateful to my second advisor Professor Willi Semmler. The project I worked on in one of his seminars in 1999 can really be seen as a starting point for my research on state space models. I thank Professor Thomas Braun for joining the committee for my oral examination.
Author : Wei Shi
Publisher :
ISBN 13 :
Total Pages : 198 pages
Book Rating : 4.:/5 (33 download)
Download or read book Essays on the Term Structure of Interest Rates written by Wei Shi and published by . This book was released on 1995 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alfred Bühler (Finanzexperte)
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (61 download)
Download or read book Factors Affecting the Term Structure of Interest Rates written by Alfred Bühler (Finanzexperte) and published by . This book was released on 1994 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lukas Butenberg
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (112 download)
Download or read book Modeling the Term Structure of Interest Rates: Model Comparison and Application to the German Bond Market written by Lukas Butenberg and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Arne Halberstadt
Publisher :
ISBN 13 :
Total Pages : 117 pages
Book Rating : 4.:/5 (861 download)
Download or read book Analyzing the Term Structure of Interest Rates with Macroeconomic Factor Models written by Arne Halberstadt and published by . This book was released on 2013 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Compiled by the British Library of Political and Economic Science at the London School of Economics
Publisher : Psychology Press
ISBN 13 : 9780415152150
Total Pages : 680 pages
Book Rating : 4.1/5 (521 download)
Download or read book Ibss: Economics: 1995 written by Compiled by the British Library of Political and Economic Science at the London School of Economics and published by Psychology Press. This book was released on 1996 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: The IBSS is the essential tool for librarians, university departments, research institutions and any public or private institutions whose work requires access to up-to-date and comprehensive knowledge of the social sciences.
Author : Michael Puhle
Publisher : Springer Science & Business Media
ISBN 13 : 354076593X
Total Pages : 143 pages
Book Rating : 4.5/5 (47 download)
Download or read book Bond Portfolio Optimization written by Michael Puhle and published by Springer Science & Business Media. This book was released on 2008-01-08 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to portfolio selection techniques used by practitioners. Both single-period and continuous-time bond portfolio optimization problems are considered.
Author : Jianhai Bao
Publisher : Springer
ISBN 13 : 3319469797
Total Pages : 159 pages
Book Rating : 4.3/5 (194 download)
Download or read book Asymptotic Analysis for Functional Stochastic Differential Equations written by Jianhai Bao and published by Springer. This book was released on 2016-11-19 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt: This brief treats dynamical systems that involve delays and random disturbances. The study is motivated by a wide variety of systems in real life in which random noise has to be taken into consideration and the effect of delays cannot be ignored. Concentrating on such systems that are described by functional stochastic differential equations, this work focuses on the study of large time behavior, in particular, ergodicity.This brief is written for probabilists, applied mathematicians, engineers, and scientists who need to use delay systems and functional stochastic differential equations in their work. Selected topics from the brief can also be used in a graduate level topics course in probability and stochastic processes.
Author : Damir Filipovic
Publisher : Springer Science & Business Media
ISBN 13 : 3540680152
Total Pages : 259 pages
Book Rating : 4.5/5 (46 download)
Download or read book Term-Structure Models written by Damir Filipovic and published by Springer Science & Business Media. This book was released on 2009-07-28 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
