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Author : Chris Downing
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.E/5 ( download)
Download or read book Nonparametric Estimation of Multifactor Continuous Time Interest Rate Models written by Chris Downing and published by . This book was released on 1999 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Orazio di Miscia
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (474 download)
Download or read book Estimation of Continuous-time Interest Rate Models written by Orazio di Miscia and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Manuel Arapis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods written by Manuel Arapis and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study applies the nonparametric estimation procedure to the diffusion process modeling the dynamics of short-term interest rates. This approach allows us to operate in continuous time, estimating the continuous-time model, despite the use of discrete data. Three methods are proposed. We apply these methods to two important financial data. After selecting an appropriate bandwidth for each dataset, empirical comparisons indicate that the specification of the drift has a considerable impact on the pricing of derivatives through its effect on the diffusion function. In addition, a novel nonparametric test has been proposed for specification of linearity in the drift. Our simulation directs us to reject the null hypothesis of linearity at the 5% significance level for the two financial datasets.
Author : Matt Pritsker
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.E/5 ( download)
Download or read book Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models written by Matt Pritsker and published by . This book was released on 1997 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nicholas H. Bingham
Publisher : Springer Science & Business Media
ISBN 13 : 1447138562
Total Pages : 447 pages
Book Rating : 4.4/5 (471 download)
Download or read book Risk-Neutral Valuation written by Nicholas H. Bingham and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 447 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.
Author : Teresa Corzo
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (129 download)
Download or read book Nonparametric Estimation of Convergence of Interest Rates written by Teresa Corzo and published by . This book was released on 2002 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present and estimate, using nonparametric regression techniques, a model of short term interest rate dynamics and use the estimation to value bonds. We study the case of two European countries - Spain and Italy - that belong to EMU, and compare the resulting bond prices of a one factor model with that of a two factor, the second factor being a stochastic mean. The pricing errors for both models are 34% smaller than those reported on the parametric literature. Furthermore, the two factor model, which takes into account the convergence with Europe of the domestic economies, obtains better results than the one factor model. Our findings give strong support to the importance of a correct specification of the volatility of interest rates.
Author : Yacine Ait-Sahalia
Publisher : Elsevier
ISBN 13 : 0080929842
Total Pages : 809 pages
Book Rating : 4.0/5 (89 download)
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
Author : Jiti Gao
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (897 download)
Download or read book Nonparametric Estimation and Comparisons in Stochastic Short-term Interest Rate Models written by Jiti Gao and published by . This book was released on 2003 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 1128 pages
Book Rating : 4.:/5 (49 download)
Download or read book Journal of Economic Dynamics & Control written by and published by . This book was released on 2002 with total page 1128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Filippo Altissimo
Publisher :
ISBN 13 :
Total Pages : 61 pages
Book Rating : 4.:/5 (559 download)
Download or read book Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns written by Filippo Altissimo and published by . This book was released on 2004 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael S. Johannes
Publisher :
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Nonparametric View of the Role of Jumps to Interest Rates written by Michael S. Johannes and published by . This book was released on 2011 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an empirical analysis of the role of jumps in continuous-time models of the short rate. A diagnostic is developed to relate the failure of single and certain multi-factor models to the presence of unaccounted for jump-type movements. I introduce a nonparametric jump-diffusion model and develop an estimation methodology, which is justified using Monte Carlo simulations. The results point toward a dominant role for jumps in determining the dynamics of the short rate relative to standard diffusion components. An approximate filtering algorithm estimates jump times and sizes, providing further insight into the role of jumps. Jumps appear to be a mechanism through which fundamental information regarding the state of the macroeconomy enters the term-structure. Last, I investigate the implications of jumps for the default free, zero coupon term structure of interest rates.
Author : Mark Watson
Publisher : Oxford University Press
ISBN 13 : 0199549494
Total Pages : 432 pages
Book Rating : 4.1/5 (995 download)
Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Author : Michael A. Sullivan
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (318 download)
Download or read book Discrete-time Continuous-state Interest Rate Models written by Michael A. Sullivan and published by . This book was released on 2000 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Antonio Mele
Publisher : MIT Press
ISBN 13 : 0262046849
Total Pages : 1147 pages
Book Rating : 4.2/5 (62 download)
Download or read book Financial Economics written by Antonio Mele and published by MIT Press. This book was released on 2022-11-22 with total page 1147 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference for financial economics, balancing theoretical explanations, empirical evidence, and the practical relevance of knowledge in the field. This volume offers a comprehensive, integrated treatment of financial economics, tracking the major milestones in the field and providing methodological tools. Doing so, it balances theoretical explanations, empirical evidence, and practical relevance. It illustrates nearly a century of theoretical advances with a vast array of models, showing how real phenomena (and, at times, market practice) have helped economists reformulate existing theories. Throughout, the book offers examples and solved problems that help readers understand the main lessons conveyed by the models analyzed. The book provides a unique and authoritative reference for the field of financial economics. Part I offers the foundations of the field, introducing asset evaluation, information problems in asset markets and corporate finance, and methods of statistical inference. Part II explains the main empirical facts and the challenges these pose for financial economists, which include excess price volatility, market liquidity, market dysfunctionalities, and the countercyclical behavior of market volatility. Part III covers the main instruments that protect institutions against the volatilities and uncertainties of capital markets described in part II. Doing so, it relies on models that have become the market standard, and incorporates practices that emerged from the 2007–2008 financial crisis.
Author : Mr.Vadim Khramov
Publisher : International Monetary Fund
ISBN 13 : 1475591225
Total Pages : 27 pages
Book Rating : 4.4/5 (755 download)
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.
Author :
Publisher :
ISBN 13 :
Total Pages : 286 pages
Book Rating : 4.3/5 (555 download)
Download or read book The Fed in Print written by and published by . This book was released on 1997 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sanjay K. Nawalkha
Publisher : John Wiley & Sons
ISBN 13 : 0470140062
Total Pages : 722 pages
Book Rating : 4.4/5 (71 download)
Download or read book Dynamic Term Structure Modeling written by Sanjay K. Nawalkha and published by John Wiley & Sons. This book was released on 2007-05-23 with total page 722 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models." --Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling
