Admissible term structures and term structure com-
On the range of admissible term-structures
... Definition, calibration and application of rate curves and term structure market models Hagan and West, 2006, Interpolation methods for curve construction Iwashita, 2013, Piecewise polyn[r] ...
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Term Structure and Admissible Survival Probables
... define admissible curves as arbitrage-free term structures which are perfectly compatible with input market quotes and which admit a minimum degree of ...these admissible curves and its impact ...
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Volatility Structures of Forward Rates and the Dynamics of the Term Structure*
... the term structure in which the volatility structure of forward rates is ...volatility structure is carefully cur- tailed, bond prices can be expressed in terms of the spot rate and an ...
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Testing Linearity in Term Structures
... 2 Methodology This paper aims to fully characterise the behaviour of market interest rates, by analysing both time series and cross-section properties of a non-parametric term structure model. To do so, the ...
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Kriging of financial term-structures
... 2015 ). Kriging methods naturally rely on some assumptions on the underlying random fields, and one must carefully consider all conditions that must be satisfied before constructing a krig- ing model. In practice, the ...
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The term structures of global yields
... We decompose these local currency yield curves into expected rate and term premium components using the estimation approach of Adrian, Crump and Moench (2013), ACM henceforth)). Given a set of yield curve factors ...
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Volatility term structures in commodity markets
... There are several macroeconomic factors that influence the volatility term structure. Employment is significantly positively related to the level factors of most commodities. For sugar and corn, though, ...
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The Term Structures of Equity and Interest Rates
... burgh and Verdelhan (2008) and Wachter (2006)). We extend these studies by exploring the con- sequences of our pricing kernel for a cross-section of equities defined by cash flows. In particular, we show that the model ...
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Essays on the term structures of bonds and equities
... the term structure of equities by exploring the properties of the individual dividend payments that comprise the aggregate stock mar- ...the term structure of the stochastic dividends of ...
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Rebonoto Term Structure Models
... 11.3.1 Possible Mechanisms to Create a Supply/Demand Imbalance The dynamics of supply of and demand for interest-rate derivatives products are very complex, especially in US$, where the mortgage-backed securities market ...
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The term structure of illiquidity premia
... increasing term structures, strictly decreasing ones, and occasionally hump- shaped ...short term bonds is fairly low at the beginning of 2004, but extremely high from the middle of year 2007 ...
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On the equivalence of financial structures with short-term assets
... equivalence class of F. In this case, the equilibrium consumption and the equilibrium spot price are the same. The equivalence relation has been studied, among others, by Aouani-Cornet and Cornet-Ranjan [2, 4] in the ...
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Statistical properties of derivatives: a journey in term structures.
... the term structure of futures prices’ returns of commodity and financial ...the term structure has often been ...the term structure of the first fourth moments of the ...
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Modeling the term structure of interest rates
... short- term volatility factor V 22 also increases sharply during periods of distress in asset markets such as the LTCM and the Russian crisis or the dot-com ...
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Asymptotic Maturity Behavior of the Term Structure
... in common that a sequence of admissible strategies is considered, in which arbitrage is realized in the limit with respect to a certain topology. But there are also substantial differences. The no free lunch ...
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Term Structure of Prices of Asian Options
... E-mail: {akahori, rp004992, yasutomi, rp005990}@se.ritsumei.ac.jp Abstract In the present paper, we will study the pricing of Asian options. The main contribution is the model construction; our model is compatible with ...
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The Term Structure of VIX
... the term structure of VIX, which is the focus of the current ...volatility term structure and lunched S&P 500 3-month volatility index under the ticker symbol “VXV” on November 12, ...the ...
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The Term Structure of Expectations
... Figure 19 describes the model’s predictions for long-term inflation expectations for the U.S. and three other countries. Parameters are estimated using nonlinear Bayesian methods on inflation U.S. data, including ...
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Term Structure Anomalies: Term Premium or Peso problem?
... US term struc- ture, when a spread increase (decrease) is not followed by a long term interest rate increase ...volatility term premium into the EHTS ...
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The Information in Term Structure——Based on the Perspective of Term Premium
... 因此，利率期限结构的形状和变化都可以作为预测利率的信息。利率和投资者 的选择是互相影响的，具有反生性。对于央行来说可以通过利率期限结构的调 整引导市场参与者的行为，进行合意的宏观调控。利率期限结构除了反映预 期，还包含着期限溢酬 ① (Term Premium)的信息。期限溢酬是对投资者的风险补 偿，该风险来源于消费投资的不确定以及流动性偏好。研究期限溢酬意义在于 可以提高利率预测的准确性。 ...
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