搜索结果: 1-9 共查到“理论经济学 Term structure”相关记录9条 . 查询时间(0.143 秒)
Term Structure Modelling by Using Nelson-Siegel Model
Nelson-Siegel model Nonlinear least squares Yield curve estimation
2016/1/27
Zero coupon rates are not observable in the market for a range of maturities. Therefore, an estimation methodology is required to derive the zero coupon yield curves from observable data. If we deal w...
Information contained in the term structure
for
business cycle measurement
spread between short & long Treasuries, corporate bond spreads.
A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
erm structure dynamics macroeconomic
2015/7/23
We describe the joint dynamics of bond yields and macroeconomic variables in a Vector
Autoregression, where identifying restrictions are based on the absence of arbitrage. Using a
term structure mod...
Monetary Policy and the Term Structure of Interest Rates in Japan
monetary policy term structure of interest rates VAR with sign restrictions identifi cation.
2011/8/21
This paper uses Japanese data to investigate the relationship between monetary policy and the yield curve. We find that the response of the yield curve depends in an important way on the maintained hy...
CDO term structure modelling with Levy processes and the relation to market models
collateralized debt obligations loss process single tranche
2010/10/21
This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the ...
Continuous time Ehrenfest process in term structure modelling
ehrenfest model interest rate derivatives shortrate
2010/10/19
In this paper, a finite-state mean-reverting model for the short-rate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be de...
Continuous time Ehrenfest process in term structure modelling
ehrenfest model interest rate derivatives short-rate term structure vasicek model zero-couponbond
2010/4/27
In this paper, a finite-state mean-reverting model for the short-rate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be der...
On the valuation of compositions in Lévy term structure models
Time-inhomogeneous L´ evy process forward rate model forward price model option on composition Fourier transform
2010/10/29
We derive explicit valuation formulae for an exotic pathdependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier transform methods for ...
Fractional term structure models: No-arbitrage and consistency
Fractional term structure models No-arbitrage consistency
2010/12/13
In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbitrage free under pro...