Author: Neil D. PearsonPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 28
Book Description
An Empirical Examination of the Cox, Ingersoll, and Ross Model of the Term Structure of Interest Rates
Author: Neil D. PearsonPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 28
Book Description
An Empirical Test of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates in the Australian Context
Author: Carl ChiarellaPublisher:
ISBN: 9780947069735
Category : Interest rates
Languages : en
Pages : 32
Book Description
The Term Structure of Interest Rates
Author: Emilio BaronePublisher:
ISBN:
Category :
Languages : en
Pages : 27
Book Description
This paper tests the Cox, Ingersoll and Ross model using the prices of Italian Treasury bonds in the secondary market. The model is estimated daily for the period 30 December 1983 to 13 March 1989. The resulting term structures of interest rates are compared with those obtained using interpolation techniques (the cubic splines method). The daily estimation of the yield curves also makes it possible to analyze the changes in Treasury bond prices, determine the turning points and obtain useful indications regarding the efficiency of the secondary market and the consistency between the primary and the secondary markets.
Interest Rate Models
Author: Andrew J. G. CairnsPublisher: Princeton University Press
ISBN: 0691187428
Category : Business & Economics
Languages : en
Pages : 289
Book Description
The field of financial mathematics has developed tremendously over the past thirty years, and the underlying models that have taken shape in interest rate markets and bond markets, being much richer in structure than equity-derivative models, are particularly fascinating and complex. This book introduces the tools required for the arbitrage-free modelling of the dynamics of these markets. Andrew Cairns addresses not only seminal works but also modern developments. Refreshingly broad in scope, covering numerical methods, credit risk, and descriptive models, and with an approachable sequence of opening chapters, Interest Rate Models will make readers--be they graduate students, academics, or practitioners--confident enough to develop their own interest rate models or to price nonstandard derivatives using existing models. The mathematical chapters begin with the simple binomial model that introduces many core ideas. But the main chapters work their way systematically through all of the main developments in continuous-time interest rate modelling. The book describes fully the broad range of approaches to interest rate modelling: short-rate models, no-arbitrage models, the Heath-Jarrow-Morton framework, multifactor models, forward measures, positive-interest models, and market models. Later chapters cover some related topics, including numerical methods, credit risk, and model calibration. Significantly, the book develops the martingale approach to bond pricing in detail, concentrating on risk-neutral pricing, before later exploring recent advances in interest rate modelling where different pricing measures are important.
A state-space approach to estimate and test multifactor Cox-Ingersoll-Ross models of the term structure
Author: Alois GeyerPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The objective of this paper is to estimate and test multifactor versions of the Cox-Ingersoll-Ross (CIR) model of the nominal term structure of interest rates. The proposed state-space approach integrates time-series and cross-sectional aspects of the CIR model, is consistent with the underlying economic model, and can use information from all available points of the term structure. We recover estimates of the underlying factors that are consistent with the assumptions about the stochastic processes and compare them with factors obtained from standard factor analysis. We perform thorough diagnostic checking and thereby provide new evidence regarding conclusions about the adequacy of the CIR model. We present empirical results for U.S. Treasury market data. Although the specification of multifactor CIR models is sufficiently flexible for the shape of the term structure, we find strong evidence against the adequacy of the CIR model.
Empirical Analysis of the EU Term Structure of Interest Rates
Author: Zurab KotchlamazashviliPublisher: Logos Verlag Berlin GmbH
ISBN: 3832538739
Category : Business & Economics
Languages : en
Pages : 210
Book Description
The information about the properties and dynamics of term structure and its modeling hold tremendous interest for financial practitioners and policymakers alike. Accurate forecasting of the term structure of interest rates also plays a very important role for many reasons, particularly for bond portfolio and risk management, hedging derivatives, monetary and debt policy. The present dissertation contains the empirical research for the EU term structure of interest rates. The data analyzed here cover a time series based on the Euro and currencies of other six EU countries. The goal is to examine empirical properties and analyze in-sample and out-of-sample results for corresponding spot rates using 15 competitor GARCH(1,1) models with different distributional assumptions. Alltogether, the work summarizes 1680 x GARCH(1,1) in-sample and over 60000 x GARCH(1,1) out-of-sample estimation results. Moreover, the dissertation consists of 48 figures and 98 tables.
Modeling the Term Structure of Interest Rates
Author: Rajna GibsonPublisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171
Book Description
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.
An empirical analysis of the brazilian term structure of interest rates: using the kalman filter algorithm to estimate the vasicek and cox, ingersoll and ross models
Author: Publisher:
ISBN:
Category :
Languages : pt-BR
Pages :
Book Description
A importância da estrutura a termo da taxa de juros dificilmente éexagerada. A estrutura a termo agrega de forma sucinta uma quantidade enormede informação sobre o estado presente e sobre as expectativas futuras da economiade um país. Nesse trabalho, utilizando técnicas de estimação por filtro de Kalman, estimamos, com dados brasileiros, quatro modelos teóricos da ETTJ, todos casosparticulares do modelo afim estudado por Duffie e Kan (1996). Analisamos oresultado de nossas estimações tendo em vista o comportamento histórico daETTJ brasileira durante o período. Comparamos os modelos entre si, apontandopara aqueles que melhor se ajustam aos dados observados. Avaliamos que nossosresultados suportam resultados anteriores de que a hipótese das expectativas não éverificada na ETTJ brasileira.
Alternative Estimators of the Cox, Ingersoll and Ross Model of the Term Structure of Interest Rates
Author: Carlo BianchiHandbook of the Economics of Finance
Author: G. ConstantinidesPublisher: Elsevier
ISBN: 0080495087
Category : Business & Economics
Languages : en
Pages : 698
Book Description
Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.