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Jump Diffusion Processes And The Bond Markets
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Book Synopsis Jump-Diffusion Processes and the Bond Markets by : Sanjiv Ranjan Das
Download or read book Jump-Diffusion Processes and the Bond Markets written by Sanjiv Ranjan Das and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops models of the term structure when the short rate follows a jump-diffusion process. An empirical implementation demonstrates that jump-diffusions better explain interest rate behavior than pure diffusion models. The fit is shown to be improved by an augmented jump-diffusion time varying volatility model proposed here. The effect of skewness and kurtosis on the term structure of interest rates is analyzed. The economic implications of jump activity are explored with the analysis of changes in Federal Reserve target rates and their relationship to the term structure.
Book Synopsis Jump-diffusion Processes and the Bond Markets by : Sanjiv R. Das
Download or read book Jump-diffusion Processes and the Bond Markets written by Sanjiv R. Das and published by . This book was released on 1994 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops models of the term structure when the short rate follows a jump-diffusion process. An empirical implementation demonstrates that jump-diffusions better explain interest rate behavior than pure diffusion models. The fit is shown to be improved by an augmented jump-diffusion time varying volatility model proposed here. The effect of skewness and kurtosis on the jump activity are explored with an analysis of changes in Federal Reserve target rates and their relationship to the term structure.
Book Synopsis Ho-Lee Model with Jump-diffusion Process and Bond Markets by : Wei Wang
Download or read book Ho-Lee Model with Jump-diffusion Process and Bond Markets written by Wei Wang and published by . This book was released on 1997 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Jump Diffusion Processes and Emerging Bond and Stock Markets by : Mandeep S. Chahal
Download or read book Jump Diffusion Processes and Emerging Bond and Stock Markets written by Mandeep S. Chahal and published by . This book was released on 2016 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: The underlying stochastic processes that drive returns in several emerging bond and stock markets are investigated using the pure diffusion, the jump diffusion, the ARCH pure diffusion, and the ARCH jump diffusion models. The results indicate that jump diffusion models fit the data better than pure diffusion models. Possible sources and linkages of information surprises in emerging stock and bond markets are also investigated. Bond and stock returns of the same country exhibit simultaneous jumps, indicating a possible linkage of the two markets. U.S. equity returns respond to jumps in emerging bond markets but not to jumps in emerging stock markets.
Book Synopsis Bond Markets where the Short Rate is a Jump Diffusion by : Christian Hauswirth
Download or read book Bond Markets where the Short Rate is a Jump Diffusion written by Christian Hauswirth and published by . This book was released on 1999 with total page 105 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Poisson-Guassian Processes and the Bond Markets by : Sanjiv R. Das
Download or read book Poisson-Guassian Processes and the Bond Markets written by Sanjiv R. Das and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: That interest rates move in a discontinuous manner is no surprise to participants in the bond markets. This paper proposes and estimates a class of Poisson-Gaussian processes that allow for jumps in interest rates. Estimation is undertaken using exact continuous-time and discrete-time estimators. Analytical derivations of the characteristic functions, moments and density functions of jump-diffusion stochastic process are developed and employed in empirical estimation. These derivations are general enough to accommodate any jump distribution. We find that jump processes capture empirical features of the data which would not be captured by diffusion models. The models in the paper enable an assessment of the impact of Fed activity and day-of-week effects on the stochastic process for interest rates. There is strong evidence that existing diffusion models would be well-enhanced by jump processes
Book Synopsis Jump-diffusion Processes and Affine Term Structure Models by : J. Benson Durham
Download or read book Jump-diffusion Processes and Affine Term Structure Models written by J. Benson Durham and published by . This book was released on 2005 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Affine term structure models in which the short rate follows a jump-diffusion process are difficult to solve, and the parameters of such models are hard to estimate. Without analytical answers to the partial difference differential equation (PDDE) for bond prices implied by jump-diffusion processes, one must find a numerical solution to the PDDE or exactly solve an approximate PDDE. Although the literature focuses on a single linearization technique to estimate the PDDE, this paper outlines alternative methods that seem to improve accuracy. Also, closed-form solutions, numerical estimates, and closed-form approximations of the PDDE each ultimately depend on the presumed distribution of jump sizes, and this paper explores a broader set of possible densities that may be more consistent with intuition, including a bi-modal Gaussian mixture. GMM and MLE of one- and two-factor jump-diffusion models produce some evidence for jumps, but sensitivity analyses suggest sizeable confidence intervals around the parameters.
Book Synopsis Encyclopedia of Finance by : Cheng-Few Lee
Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.
Book Synopsis Financial Modelling with Jump Processes by : Peter Tankov
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Book Synopsis Poisson-Guassian Processes and the Bond Markets by : Sanjiv Ranjan Das
Download or read book Poisson-Guassian Processes and the Bond Markets written by Sanjiv Ranjan Das and published by . This book was released on 2010 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: That interest rates move in a discontinuous manner is no surprise to participants in the bond markets. This paper proposes and estimates a class of Poisson-Gaussian processes that allow for jumps in interest rates. Estimation is undertaken using exact continuous-time and discrete-time estimators. Analytical derivations of the characteristic functions, moments and density functions of jump-diffusion stochastic process are developed and employed in empirical estimation. These derivations are general enough to accommodate any jump distribution. We find that jump processes capture empirical features of the data which would not be captured by diffusion models. The models in the paper enable an assessment of the impact of Fed activity and day-of-week effects on the stochastic process for interest rates. There is strong evidence that existing diffusion models would be well-enhanced by jump processes.
Book Synopsis Term Structure Models of Interest Rates with Jump-diffusion Information by : Koji Kusuda
Download or read book Term Structure Models of Interest Rates with Jump-diffusion Information written by Koji Kusuda and published by . This book was released on 2003 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Jump-diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities by : Chunsheng Zhou
Download or read book A Jump-diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities written by Chunsheng Zhou and published by . This book was released on 1997 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dynamic Asset Pricing Theory by : Darrell Duffie
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Book Synopsis Mathematics of the Bond Market: A Lévy Processes Approach by : Michał Barski
Download or read book Mathematics of the Bond Market: A Lévy Processes Approach written by Michał Barski and published by Cambridge University Press. This book was released on 2020-04-23 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analyses bond market models with Lévy stochastic factors, suitable for graduates and researchers in probability and mathematical finance.
Book Synopsis Jump-diffusion Term Structure and Ito Conditional Moment Generator by : Hao Zhou
Download or read book Jump-diffusion Term Structure and Ito Conditional Moment Generator written by Hao Zhou and published by . This book was released on 2001 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Jump-diffusion Processes and Affine Term Structure Models by : Athanasios Orphanides
Download or read book Jump-diffusion Processes and Affine Term Structure Models written by Athanasios Orphanides and published by . This book was released on 2005 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Firms active in OTC derivative markets increasingly use margin agreements to reduce counterparty credit risk. Making several simplifying assumptions, I use both a quasi- analytic approach and a simulation approach to quantify how margining reduces counterparty credit exposure. Margining reduces counterparty credit exposure by over 80 percent, using baseline parameter assumptions. I show how expected positive exposure (EPE) depends on key terms of the margin agreement and the current mark-to-market value of the portfolio of contracts with the counterparty. I also discuss a possible shortcut that could be used by firms that can model EPE without margin but cannot achieve the higher level of sophistication needed to model EPE with margin"--Federal Reserve Board web site.
Book Synopsis Point Processes and Jump Diffusions by : Tomas Björk
Download or read book Point Processes and Jump Diffusions written by Tomas Björk and published by Cambridge University Press. This book was released on 2021-06-17 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.
