Comparison Of Alternative Models Of The Short Term Interest Rate

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Estimating Parameters of Short-Term Real Interest Rate Models

Author : Mr.Vadim Khramov
Publisher : International Monetary Fund
ISBN 13 : 147559464X
Total Pages : 27 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis Estimating Parameters of Short-Term Real Interest Rate Models by : Mr.Vadim Khramov

Download or read book Estimating Parameters of Short-Term Real Interest Rate Models written by Mr.Vadim Khramov and published by International Monetary Fund. This book was released on 2013-10-17 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although models for the nominal interest rate are well studied and estimated, dynamics of the real interest rate are rarely explored. Simple ad hoc processes for the short-term real interest rate are usually assumed as building blocks for more sophisticated models. In this paper, parameters of the real interest rate model are estimated in the broad class of single-factor interest rate diffusion processes on U.S. monthly data. It is shown that the elasticity of interest rate volatility—the relationship between the volatility of changes in the interest rate and its level—plays a crucial role in explaining real interest rate dynamics. The empirical estimates of the elasticity of the real interest rate volatility are found to be about 0.5, much lower than that of the nominal interest rate. These estimates show that the square root process, as in the Cox-Ingersoll-Ross model, provides a good characterization of the short-term real interest rate process.

Modeling the Term Structure of Interest Rates

Author : Rajna Gibson
Publisher : Now Publishers Inc
ISBN 13 : 1601983727
Total Pages : 171 pages
Book Rating : 4.6/5 (19 download)

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Book Synopsis Modeling the Term Structure of Interest Rates by : Rajna Gibson

Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson and published by Now Publishers Inc. This book was released on 2010 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Interest Rate Models Theory and Practice

Author : Damiano Brigo
Publisher : Springer Science & Business Media
ISBN 13 : 3662045532
Total Pages : 544 pages
Book Rating : 4.6/5 (62 download)

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Book Synopsis Interest Rate Models Theory and Practice by : Damiano Brigo

Download or read book Interest Rate Models Theory and Practice written by Damiano Brigo and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered. The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of inflation-linked derivatives. The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.

Interest Rate, Term Structure, and Valuation Modeling

Author : Frank J. Fabozzi, CFA
Publisher : John Wiley & Sons
ISBN 13 : 9780471220947
Total Pages : 536 pages
Book Rating : 4.2/5 (29 download)

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Book Synopsis Interest Rate, Term Structure, and Valuation Modeling by : Frank J. Fabozzi, CFA

Download or read book Interest Rate, Term Structure, and Valuation Modeling written by Frank J. Fabozzi, CFA and published by John Wiley & Sons. This book was released on 2002-11-01 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Interest Rate, Term Structure, and Valuation Modeling

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 047144698X
Total Pages : 530 pages
Book Rating : 4.4/5 (714 download)

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Book Synopsis Interest Rate, Term Structure, and Valuation Modeling by : Frank J. Fabozzi

Download or read book Interest Rate, Term Structure, and Valuation Modeling written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2002-11-29 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Recent Advances and Trends in Nonparametric Statistics

Author : M.G. Akritas
Publisher : Elsevier
ISBN 13 : 0080540376
Total Pages : 523 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis Recent Advances and Trends in Nonparametric Statistics by : M.G. Akritas

Download or read book Recent Advances and Trends in Nonparametric Statistics written by M.G. Akritas and published by Elsevier. This book was released on 2003-10-31 with total page 523 pages. Available in PDF, EPUB and Kindle. Book excerpt: The advent of high-speed, affordable computers in the last two decades has given a new boost to the nonparametric way of thinking. Classical nonparametric procedures, such as function smoothing, suddenly lost their abstract flavour as they became practically implementable. In addition, many previously unthinkable possibilities became mainstream; prime examples include the bootstrap and resampling methods, wavelets and nonlinear smoothers, graphical methods, data mining, bioinformatics, as well as the more recent algorithmic approaches such as bagging and boosting. This volume is a collection of short articles - most of which having a review component - describing the state-of-the art of Nonparametric Statistics at the beginning of a new millennium.Key features:• algorithic approaches • wavelets and nonlinear smoothers • graphical methods and data mining • biostatistics and bioinformatics • bagging and boosting • support vector machines • resampling methods

Econometric Modelling with Time Series

Author : Vance Martin
Publisher : Cambridge University Press
ISBN 13 : 113953601X
Total Pages : 982 pages
Book Rating : 4.1/5 (395 download)

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Book Synopsis Econometric Modelling with Time Series by : Vance Martin

Download or read book Econometric Modelling with Time Series written by Vance Martin and published by Cambridge University Press. This book was released on 2012-12-28 with total page 982 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a general framework for specifying, estimating and testing time series econometric models. Special emphasis is given to estimation by maximum likelihood, but other methods are also discussed, including quasi-maximum likelihood estimation, generalised method of moments estimation, nonparametric estimation and estimation by simulation. An important advantage of adopting the principle of maximum likelihood as the unifying framework for the book is that many of the estimators and test statistics proposed in econometrics can be derived within a likelihood framework, thereby providing a coherent vehicle for understanding their properties and interrelationships. In contrast to many existing econometric textbooks, which deal mainly with the theoretical properties of estimators and test statistics through a theorem-proof presentation, this book squarely addresses implementation to provide direct conduits between the theory and applied work.

Hidden Markov Models in Finance

Author : Rogemar S. Mamon
Publisher : Springer
ISBN 13 : 1489974423
Total Pages : 280 pages
Book Rating : 4.4/5 (899 download)

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Book Synopsis Hidden Markov Models in Finance by : Rogemar S. Mamon

Download or read book Hidden Markov Models in Finance written by Rogemar S. Mamon and published by Springer. This book was released on 2014-05-14 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of hidden Markov models (HMMs) has become one of the hottest areas of research for such applications to finance. This handbook offers systemic applications of different methodologies that have been used for decision making solutions to the financial problems of global markets. As the follow-up to the authors’ Hidden Markov Models in Finance (2007), this offers the latest research developments and applications of HMMs to finance and other related fields. Amongst the fields of quantitative finance and actuarial science that will be covered are: interest rate theory, fixed-income instruments, currency market, annuity and insurance policies with option-embedded features, investment strategies, commodity markets, energy, high-frequency trading, credit risk, numerical algorithms, financial econometrics and operational risk. Hidden Markov Models in Finance: Further Developments and Applications, Volume II presents recent applications and case studies in finance and showcases the formulation of emerging potential applications of new research over the book’s 11 chapters. This will benefit not only researchers in financial modeling, but also others in fields such as engineering, the physical sciences and social sciences. Ultimately the handbook should prove to be a valuable resource to dynamic researchers interested in taking full advantage of the power and versatility of HMMs in accurately and efficiently capturing many of the processes in the financial market.

The Preparation of Monetary Policy

Author : J.M. Berk
Publisher : Springer Science & Business Media
ISBN 13 : 1475734050
Total Pages : 157 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis The Preparation of Monetary Policy by : J.M. Berk

Download or read book The Preparation of Monetary Policy written by J.M. Berk and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: Standard macroeconomic monographs often discuss the mechanism of monetary transmission, usually ending by highlighting the complexities and uncertainties involved in this mechanism. Conversely, The Preparation of Monetary Policy takes these uncertainties as a starting point, analytically investigating their nature and spelling out their consequences for the monetary policy maker. The second innovative aspect of this book is its focus on policy preparation instead of well-covered topics such as monetary policy strategy, tactics, and implementation. Thirdly, a general, multi-model framework for preparing monetary policy is proposed, which is illustrated by case studies stressing the role of international economic linkages and of expectations. Written in a self-contained fashion, these case studies are of interest by themselves. The book is written for an audience that is interested in the art and science of monetary policy making, which includes central bankers, academics, and (graduate) students in the field of monetary economics, macroeconomics, international economics and finance.

Finance

Author : R.A. Jarrow
Publisher : Elsevier
ISBN 13 : 9780444890849
Total Pages : 1204 pages
Book Rating : 4.8/5 (98 download)

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Book Synopsis Finance by : R.A. Jarrow

Download or read book Finance written by R.A. Jarrow and published by Elsevier. This book was released on 1995-12-15 with total page 1204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.

International Convergence of Capital Measurement and Capital Standards

Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)

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Book Synopsis International Convergence of Capital Measurement and Capital Standards by :

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Financial Economics and Econometrics

Author : Nikiforos T. Laopodis
Publisher : Routledge
ISBN 13 : 1000506088
Total Pages : 787 pages
Book Rating : 4.0/5 (5 download)

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Book Synopsis Financial Economics and Econometrics by : Nikiforos T. Laopodis

Download or read book Financial Economics and Econometrics written by Nikiforos T. Laopodis and published by Routledge. This book was released on 2021-12-14 with total page 787 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Economics and Econometrics provides an overview of the core topics in theoretical and empirical finance, with an emphasis on applications and interpreting results. Structured in five parts, the book covers financial data and univariate models; asset returns; interest rates, yields and spreads; volatility and correlation; and corporate finance and policy. Each chapter begins with a theory in financial economics, followed by econometric methodologies which have been used to explore the theory. Next, the chapter presents empirical evidence and discusses seminal papers on the topic. Boxes offer insights on how an idea can be applied to other disciplines such as management, marketing and medicine, showing the relevance of the material beyond finance. Readers are supported with plenty of worked examples and intuitive explanations throughout the book, while key takeaways, ‘test your knowledge’ and ‘test your intuition’ features at the end of each chapter also aid student learning. Digital supplements including PowerPoint slides, computer codes supplements, an Instructor’s Manual and Solutions Manual are available for instructors. This textbook is suitable for upper-level undergraduate and graduate courses on financial economics, financial econometrics, empirical finance and related quantitative areas.

Missing Data Methods

Author : David M. Drukker
Publisher : Emerald Group Publishing
ISBN 13 : 1780525265
Total Pages : 262 pages
Book Rating : 4.7/5 (85 download)

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Book Synopsis Missing Data Methods by : David M. Drukker

Download or read book Missing Data Methods written by David M. Drukker and published by Emerald Group Publishing. This book was released on 2011-11-30 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: Part of the "Advances in Econometrics" series, this title contains chapters covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas; and, Consistent Estimation and Orthogonality.

Yield Curves and Forward Curves for Diffusion Models of Short Rates

Author : Gennady A. Medvedev
Publisher : Springer
ISBN 13 : 3030155005
Total Pages : 247 pages
Book Rating : 4.0/5 (31 download)

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Book Synopsis Yield Curves and Forward Curves for Diffusion Models of Short Rates by : Gennady A. Medvedev

Download or read book Yield Curves and Forward Curves for Diffusion Models of Short Rates written by Gennady A. Medvedev and published by Springer. This book was released on 2019-05-18 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is dedicated to the study of the term structures of the yields of zero-coupon bonds. The methods it describes differ from those usually found in the literature in that the time variable is not the term to maturity but the interest rate duration, or another convenient non-linear transformation of terms. This makes it possible to consider yield curves not only for a limited interval of term values, but also for the entire positive semiaxis of terms. The main focus is the comparative analysis of yield curves and forward curves and the analytical study of their features. Generalizations of yield term structures are studied where the dimension of the state space of the financial market is increased. In cases where the analytical approach is too cumbersome, or impossible, numerical techniques are used. This book will be of interest to financial analysts, financial market researchers, graduate students and PhD students.

Handbook of Financial Econometrics

Author : Yacine Ait-Sahalia
Publisher : Elsevier
ISBN 13 : 0080929842
Total Pages : 809 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis Handbook of Financial Econometrics by : Yacine Ait-Sahalia

Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections

Financial Risk in Insurance

Author : G. Ottaviani
Publisher : Springer Science & Business Media
ISBN 13 : 3642578462
Total Pages : 123 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis Financial Risk in Insurance by : G. Ottaviani

Download or read book Financial Risk in Insurance written by G. Ottaviani and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Published with the contribution of the Italian insurance company, INA, this volume contains the invited contributions presented at the 3rd International AFIR Colloquium. In the spirit of actuarial tradition, the colloquium paid attention to the link between the theoretical approach and the operative problems of financial markets and institutions, and insurance companies in particular. The book is thus an important reference work for students and researchers of actuarial sciences and finance, and is also recommended to practitioners with theoretical interests.

A Portrait of State-of-the-Art Research at the Technical University of Lisbon

Author : Manuel Seabra Pereira
Publisher : Springer Science & Business Media
ISBN 13 : 1402056907
Total Pages : 605 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis A Portrait of State-of-the-Art Research at the Technical University of Lisbon by : Manuel Seabra Pereira

Download or read book A Portrait of State-of-the-Art Research at the Technical University of Lisbon written by Manuel Seabra Pereira and published by Springer Science & Business Media. This book was released on 2007-11-24 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book celebrates the 75th anniversary of The Technical University of Lisbon (UTL). It provides a compelling picture of current state-of-art research at UTL. It contains the edited version of the invited lectures from a two day Symposium and brings together a comprehensive summary of high quality research contributions across basic and applied sciences. A broad spectrum of topics is covered reflecting UTL’s worldwide recognition.