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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 : Rajna Gibson
Publisher : Now Publishers Inc
ISBN 13 : 1601983727
Total Pages : 171 pages
Book Rating : 4.6/5 (19 download)
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.
Author : Fathi Abid
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (129 download)
Download or read book Estimating Term Structure of Interest Rates written by Fathi Abid and published by . This book was released on 2014 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is twofold; first we concentrate on the work of Vasicek (1977) and Cox, Ingersoll and Ross (1985). We examine and test empirically each model and discuss its performance in predicting the term structure of interest rates using a parametric estimating approach GMM (Generalized Moments Method). Second we estimate the term structure of interest rate dynamics using a nonparametric approach ANN (Artificial Neural Network). Two neural network models are performed. The first model uses spreads between interest rates of 10 different maturities as the only explanatory variable of interest rate changes. The second model introduces two factors, spreads and interest rates' levels. Using historical U.S. Treasury bill rates and Treasury bond yields, we compare the ability of each model to predict the term structure of interest rates. Data are daily and cover the period from 3 January 1995 to 29 December 2000. Results suggest that, neural network; Vasicek (1977) and Cox, Ingersoll and Ross (1985) models generate different yield curves. Neural network models outperform the parametric standard models. The most successful forecast is obtained with two factors neural network model.
Author : Albert Tavidze
Publisher : Nova Publishers
ISBN 13 : 9781590338384
Total Pages : 244 pages
Book Rating : 4.3/5 (383 download)
Download or read book Progress in Economics Research written by Albert Tavidze and published by Nova Publishers. This book was released on 2003 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: This series spans the globe presenting leading research in economics. Perhaps it is a sign of the times that economic weapons such as sanctions seem to be as powerful as or more so than tanks. International applications and examples of economic progress are invaluable in a troubled world with economic booms bursting like so many penny balloons. Intraindustry Trade; Inequality, Human Capital, and Trade: Theory and Evidence; Estimation of Duration Models in the Presence of Heterogeneity of Unknown Form; Health and the Process of Economic Development; Monetary Volatility and the Paper-Bill Spread; Habits and Meaning in Alfred Schutz's Action Theory; Tax Evasion in a Transition Economy: Theory and Empirical Evidence from the Former Soviet Union Republic of Moldova; A Tale of Three Cities: Is an Electronic Public Order Book Appropriate for Transition Economies?; Auditors, Actuaries, and Managed Earnings; Using Principal Component Analysis to Explain Term Structure Movements: Performance and Stability; Index.
Author : Anurag Gupta
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (129 download)
Download or read book An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets written by Anurag Gupta and published by . This book was released on 2001 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models In the Dollar Cap-Floor Markets Anurag Gupta Marti G. Subrahmanyam Abstract This paper examines the static and dynamic accuracy of interest rate option pricing models in the U.S. dollar interest rate cap and floor markets. We evaluate alternative one-factor and two-factor term structure models of the spot and the forward interest rates on the basis of their out-of-sample predictive ability in terms of pricing and hedging performance. In addition, the models are evaluated based on the stability of their parameters, the presence of systematic biases, and their numerical complexity and computational efficiency. We conduct tests on daily data from March-December 1998, consisting of actual cap and floor prices across both strike rates and maturities. Results show that fitting the skew of the underlying interest rate distribution provides accurate pricing results within a one-factor framework. However, for hedging performance, introducing a second stochastic factor is more important than fitting the skew of the underlying distribution. Overall, the one-factor lognormal model for short term interest rates outperforms other competing models in pricing tests, while two-factor models perform significantly better than one-factor models in hedging tests. Modeling the second factor allows a better representation of the dynamic evolution of the term structure by incorporating expected twists in the yield curve. Thus, the interest rate dynamics embedded in two-factor models appears to be closer to the one driving the actual economic environment, leading to more accurate hedges. This constitutes evidence against claims in the literature that correctly specified and calibrated one-factor models could replace multi-factor models for consistent pricing and hedging of interest rate contingent claims.
Author : Michiel de Pooter
Publisher : Rozenberg Publishers
ISBN 13 : 9051709153
Total Pages : 286 pages
Book Rating : 4.0/5 (517 download)
Download or read book Modelling and forecasting stock return volatility and the term structure of interest rates written by Michiel de Pooter and published by Rozenberg Publishers. This book was released on 2007 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of a collection of studies on two areas in quantitative finance: asset return volatility and the term structure of interest rates. The first part of this dissertation offers contributions to the literature on how to test for sudden changes in unconditional volatility, on modelling realized volatility and on the choice of optimal sampling frequencies for intraday returns. The emphasis in the second part of this dissertation is on the term structure of interest rates.
Author : Joost Driessen
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions written by Joost Driessen and published by . This book was released on 2002 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we empirically compare a wide range of different term structure models when it comes to the pricing and, in particular, hedging of caps and swaptions. We analyze the influence of the number of factors on the hedging and pricing results, and investigate which type of data quot;interest rate data or derivative price dataquot; should be used to estimate the model parameters to obtain the best hedging and pricing results. We use data on interest rates, and cap and swaption prices from 1995 to 1999. The empirical results on the hedging of caps and swaptions show that, if the number of hedge instruments is equal to the number of factors, the multi-factor models outperform one-factor models in hedging caps and swaptions. However, if one uses a large set of hedge instruments, one-factor models perform as well as multi-factor models. In terms of pricing, we find that models with two or three factors imply better out-of-sample predictions of cap and swaption prices than one-factor models. Also, estimation on the basis of current derivative prices leads to more accurate out-of-sample prediction of cap and swaption prices than estimation on the basis of interest rate data.
Author : Nikiforos T. Laopodis
Publisher : Taylor & Francis
ISBN 13 : 1000506053
Total Pages : 767 pages
Book Rating : 4.0/5 (5 download)
Download or read book Financial Economics and Econometrics written by Nikiforos T. Laopodis and published by Taylor & Francis. This book was released on 2021-12-14 with total page 767 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.
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 : Ren-raw Chen
Publisher : World Scientific
ISBN 13 : 9814498629
Total Pages : 173 pages
Book Rating : 4.8/5 (144 download)
Download or read book Understanding And Managing Interest Rate Risks written by Ren-raw Chen and published by World Scientific. This book was released on 1996-10-04 with total page 173 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is a systematic summary of modern term structure theories and how interest rate contingent claims are priced under such theories. This is the first book on such an attempt. The book reviews important term structure models and chooses one model to consistantly demonstrate contingent claim pricing. Well-known models are included and their relationships are thoroughly discussed. The book also provides a complete process of model implementation from parameter estimation to hedging. Examples are provided throughout.
Author : Adesina-Uthman Ganiyat
Publisher : Cambridge Scholars Publishing
ISBN 13 : 144387986X
Total Pages : 340 pages
Book Rating : 4.4/5 (438 download)
Download or read book Term Structure of Profit Rates of Sukuk written by Adesina-Uthman Ganiyat and published by Cambridge Scholars Publishing. This book was released on 2015-06-18 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores several non-traditional and under-researched fields in Islamic finance through its investigations into how the newly-emergent financial instrument Sukuk behaves in the broader field of finite-period financing and pricing in the market place. It provides readers with didactic information on the fundamental theories of term structure and in-depth information on this nascent financial instrument in the Islamic capital market. The book employs one and two-factor models of term structure in order to analyse sovereign and corporate Sukuk bonds from the world’s leading Islamic economy, Malaysia. For the purposes of the study, the book establishes “profit rate yield curves” in the tradition of the conventional bond yield curve in order to define different risk classes of Sukuk. The dynamics of term structure of profit rates are captured with the inclusion of volatility as a factor in one of the models. The book provides informative case studies for interested students and researchers in the field of financial economics and mathematical finance. It also provides examples that will serve to simplify future research in term structure analysis and reduce its computational inefficiency.
Author :
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book One-factor models of the term structure of interest rates written by and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kenneth Jan Singleton
Publisher :
ISBN 13 :
Total Pages : 408 pages
Book Rating : 4.:/5 (89 download)
Download or read book The Cyclical Behavior of the Term Structure of Interest Rates written by Kenneth Jan Singleton and published by . This book was released on 1977 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peijie Wang
Publisher : Routledge
ISBN 13 : 1134091451
Total Pages : 337 pages
Book Rating : 4.1/5 (34 download)
Download or read book Financial Econometrics written by Peijie Wang and published by Routledge. This book was released on 2008-09-19 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an essential toolkit for all students wishing to know more about the modelling and analysis of financial data. Applications of econometric techniques are becoming increasingly common in the world of finance and this second edition of an established text covers the following key themes:- unit roots, cointegration and other develop
Author : Gloria M. Soto
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Using Principal Component Analysis to Explain Term Structure Movements written by Gloria M. Soto and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates the performance of a kind of interest rate model that has increasingly been attracting the attention of the financial industry in recent years and which relies on principal component analysis to extract risk factors. Focusing on the Spanish bond market, our empirical analysis reveals that interest rate movements can be summarized by three principal components, related to the level, the steepness and the curvature of the yield curve. This three-principal component model is able to offer a balanced explanation of interest rate shocks and bond returns across maturities and overcomes typical one- and two-factor interest rate models. However, our results also reveal some variations with time in the principal components that point to the need to recognize the dynamic volatility structure of interest rates.
Author : Sanjiv R. Das
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (334 download)
Download or read book Mean Rate Shifts and Alternative Models of the Interest Rate written by Sanjiv R. Das and published by . This book was released on 1994 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Sanjiv R. Das
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (334 download)
Download or read book Mean Rate Shifts and Alternative Models of the Interest Rate written by Sanjiv R. Das and published by . This book was released on 1994 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
