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An Integrated Model For The Term And Volatility Structures Of Interest Rates
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Book Synopsis An Integrated Model for the Term and Volatility Structures of Interest Rates by : Ren-Raw Chen
Download or read book An Integrated Model for the Term and Volatility Structures of Interest Rates written by Ren-Raw Chen and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we present a model for the term structure of interest rates, which integrates the existing multifactor and time dependent approaches of term structure models. This integrated model uses the time series data so that it has macroeconomic implications such as interest rate volatility and mean reversion. It also uses the cross sectional data so that it fits the yield curve and the volatility curve. In contrast to other multifactor time dependent models, this model is easy to implement. It has closed form solutions for discount bonds as well as their European claims. For American claims, the lattice model can be constructed as easily as a fixed parameter model. The fitting of the volatility curve and the fitting of the yield curve are separable in the model. The capability of combining both time series and cross sectional information in a computationally tractable framework is the main contribution of this model.
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.
Book Synopsis A Stochastic Volatility Model and Inference for the Term Structure of Interest Rates by : Peng Liu
Download or read book A Stochastic Volatility Model and Inference for the Term Structure of Interest Rates written by Peng Liu and published by . This book was released on 2007 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis builds a stochastic volatility model for the term structure of interest rates, which is also known as the dynamics of the yield curve. The main purpose of the model is to propose a parsimonious and plausible approach to capture some characteristics that conform to some empirical evidence and conventions. Eventually, the development reaches a class of multivariate stochastic volatility models, which is flexible, extensible, providing the existence of an inexpensive inference approach.
Book Synopsis The Volatility of Long-term Interest Rates and Expectations Models of the Term Structure by : Robert J. Shiller
Download or read book The Volatility of Long-term Interest Rates and Expectations Models of the Term Structure written by Robert J. Shiller and published by . This book was released on 1978 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Some Models of the Term Structure of Interest Rates by : Robert Sterling Goldstein
Download or read book Some Models of the Term Structure of Interest Rates written by Robert Sterling Goldstein and published by . This book was released on 1996 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Volatility of the Term Structure of Interest Rates by : Miguel A. Ferreira
Download or read book Essays on the Volatility of the Term Structure of Interest Rates written by Miguel A. Ferreira and published by . This book was released on 2000 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Class of Stochastic Volatility Models for the Term Structure of Interest Rates by : Elisa Nicolato
Download or read book A Class of Stochastic Volatility Models for the Term Structure of Interest Rates written by Elisa Nicolato and published by . This book was released on 1999 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time Deformation and Term Structure of Interest Rates by : Wing Wah Tham
Download or read book Time Deformation and Term Structure of Interest Rates written by Wing Wah Tham and published by . This book was released on 2009 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper approaches the modeling of the yield curve from a stochastic volatility perspective based on time deformation. The way in which we model time deformation is new and differs from alternatives that currently exist in the literature and is based on market microstructure theory of the impact of information flow on a market. We model the stochastic volatility process by modeling the instantaneous volatility as a function of price intensity in the spirit of Cho and Frees (1988), Engle and Russell (1998) and Gerhard and Hautsch (2002). One contribution of the paper therefore lies with the introduction of a new transaction level approach to the econometric modelling of stochastic volatility in a multivariate framework exploiting intensity-based point processes previously used by Bowsher (2003), Hall and Haustch (2003). We find that the individual yields of U.S. treasury notes and bonds appear to be driven by different operational clocks as suggested by the market segmentation theory of the Term Structure but these are related to each other through a multivariate Hawkes model which effectively coordinates activity along the yield curve. The results offer some support to the Market Segmentation or Preferred Habitat models as the univariate Hawkes models we have found at each maturity are statistically significantly different from each other and the major impact on each maturity is activity at that maturity. However there are flows between the different maturities that die away relatively quickly which indicates that the markets are not completely segmented. Diagnostic tests show that the point process models are relatively well specified and a robustness comparison with realized volatility indicates the close relationship between the two estimators of integrated volatility but also some differences between the structural intensity model and the model free realized volatility. We have also shown that bond returns standardized by the instantaneous volatility estimated from our Hawkes model are Gaussian which is consistent with the theory of time deformation for security prices quite generally.
Book Synopsis Models of the Term Structure of Interest Rates by : John Y. Campbell
Download or read book Models of the Term Structure of Interest Rates written by John Y. Campbell and published by . This book was released on 1994 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modeling the Term Structure of Interest Rates by : Francois Lhabitant
Download or read book Modeling the Term Structure of Interest Rates written by Francois Lhabitant and published by . This book was released on 2001 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last two decades have seen the development of a profusion of theoretical models of the term structure of interest rates. This study provides a general overview and a comprehensive comparative study of the most popular ones among both academics and practitioners. It also discusses their respective advantages and disadvantages in terms of bond and/or interest rate contingent claims continuous time valuation or hedging, parameter estimation, and calibration. Finally, it proposes a unified approach for model risk assessment. Despite the relatively complex mathematics involved, financial intuition rather then mathematical rigour is emphasised throughout. The classification by means of general characteristics should enable the understanding of the different features of each model, facilitate the choice of a model in specific theoretical or empirical circumstances, and allows the testing of various models with nested as well as non-nested specifications.
Book Synopsis Volatility of the Term Structure of Interest Rates in the U.K. Market by : Christine Budd
Download or read book Volatility of the Term Structure of Interest Rates in the U.K. Market written by Christine Budd and published by . This book was released on 1982 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility Surface and Term Structure by : Kin Keung Lai
Download or read book Volatility Surface and Term Structure written by Kin Keung Lai and published by Routledge. This book was released on 2013-09-11 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides different financial models based on options to predict underlying asset price and design the risk hedging strategies. Authors of the book have made theoretical innovation to these models to enable the models to be applicable to real market. The book also introduces risk management and hedging strategies based on different criterions. These strategies provide practical guide for real option trading. This book studies the classical stochastic volatility and deterministic volatility models. For the former, the classical Heston model is integrated with volatility term structure. The correlation of Heston model is considered to be variable. For the latter, the local volatility model is improved from experience of financial practice. The improved local volatility surface is then used for price forecasting. VaR and CVaR are employed as standard criterions for risk management. The options trading strategies are also designed combining different types of options and they have been proven to be profitable in real market. This book is a combination of theory and practice. Users will find the applications of these financial models in real market to be effective and efficient.
Book Synopsis A Consumption-Based Model of the Term Structure of Interest Rates by : Jessica A. Wachter
Download or read book A Consumption-Based Model of the Term Structure of Interest Rates written by Jessica A. Wachter and published by . This book was released on 2011 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a consumption-based model that can account for many features of the nominal term structure of interest rates. The driving force behind the model is a time-varying price of risk generated by external habit. Nominal bonds depend on past consumption growth through habit and on expected inflation. When calibrated data on consumption, inflation, and the average level of bond yields, the model produces realistic volatility of bond yields and can explain key aspects of the expectations puzzle documented by Campbell and Shiller (1991) and Fama and Bliss (1987). When Actual consumption and inflation data are fed into the model, the model is shown to account for many of the short and long-run fluctuations in the short-term interest rate and the yield spread. At the same time, the model captures the high equity premium and excess stock market volatility.
Book Synopsis On the Term Structure of Interest Rates in the Presence of Reflecting and Absorbing Boundaries by : Robert S. Goldstein
Download or read book On the Term Structure of Interest Rates in the Presence of Reflecting and Absorbing Boundaries written by Robert S. Goldstein and published by . This book was released on 1997 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Building and Using Dynamic Interest Rate Models by : Ken O. Kortanek
Download or read book Building and Using Dynamic Interest Rate Models written by Ken O. Kortanek and published by John Wiley & Sons. This book was released on 2001-11-28 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.
Book Synopsis Interest Rate Modeling by : Leif B. G. Andersen
Download or read book Interest Rate Modeling written by Leif B. G. Andersen and published by . This book was released on 2010 with total page 1154 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."--Preface.
Book Synopsis Monetary Policy Rules and the Term Structure of Interest Rates by : Shu Wu
Download or read book Monetary Policy Rules and the Term Structure of Interest Rates written by Shu Wu and published by . This book was released on 2000 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
