mean reverting interest rate model
Continuous time regime-switching model applied to foreign exchange rate
... exchange rate would follow if the macroeconomic regime switches? To capture the stochastic nature of the foreign exchange rate, we modify the Cox, Ingersoll and Ross (1985) stochastic interest ...
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A New Recombination Tree Algorithm for Mean Reverting Interest Rate Dynamics
... an interest rate tree based on the extended-Vasicek short-rate ...rent interest-rate term ...short-rate model; hence the tree cannot be adjusted or updated according to ...
6
A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations
... In order for a stochastic differential equation to have a unique global (i.e., no explosion in a finite time) solution for any given initial value, the coefficients of the equation are generally required to satisfy the ...
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Approximation for Convenience Yield with Mean Reverting Commodity Price
... free rate, and then buy back again at the lower price at the ...[5] model the convenience yield as the difference between two geometric-mean floating strike Asian options by relaxing the assumption ...
10
Efficient estimation of Markov regime switching models: An application to electricity wholesale market prices
... (1977) model and the CIR (or square root) process of Cox et ...of interest rate mod- eling for ...represent mean reversion made them models of first choice also in elec- tricity spot price ...
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Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps
... freight model with decoupled mean-reverting diffusive and jump components with distinct reversion scales, for the two largest in size dry bulk carriers, ...such model construction in offshore ...
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Convergence of Monte Carlo simulations involving the mean-reverting square root process
... The mean-reverting square root process is a stochastic differential equa- tion (SDE) that has found considerable use as a model for volatility, interest rate, and other financial ...
27
Forecasting Time Varying Correlation using the Dynamic Conditional Correlation (DCC) Model
... exchange rate and PSEi returns is important in the estimation of risks for optimal hedging since it only does not involve only the quantification of individual volatilities but also include their pairwise ...
35
Valuation of Mortgages Without Prepayment Penalties
... negative mean reversion rate would cause the interest rate to be repelled from ...long-term mean θ is higher than the historical rate has ever been within the respective time ...
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In Arrears Interest Rate Derivatives under the 3/2 Model
... popular interest rate models including the Vasicek and CIR ...nonlinear mean-reverting behaviour when the interest rate is above its long-run ...large interest rate ...
10
An exchange rate target zone model with a terminal condition and mean reverting fundamentals
... The solutions e(t, ± f ), which correspond to boundary values, are plotted in Figure 3. The given solutions define the region, where exchange rate should be kept. The upper margin decreases and lower margin ...
11
Are real exchange rates mean reverting? Evidence from a panel of OECD countries
... exchange rate uses a system of weights based on a double-weighting principle which, for each country, takes into account relative market shares held by its competitors on the common markets, as well as the ...
13
PRICING EXOTIC OPTION UNDER STOCHASTIC VOLATILITY MODEL
... Black-Scholes model, the assumption of constant volatility in the Black-Scholes model contradicts to the existence of the non-fl at implied volatility surface observed in empirical ...volatility ...
11
A Simple Interest Rate Model with Unobserved Components: The Role of the Interbank Reference Rate
... economy model developed by Phelps (1970) and Lucas (1972, 1973) in the context of the output-in‡ation tradeo¤s and the e¤ectiveness of monetary ...reference rate, since its most fundamental one is ...
23
The effect of interest rate volatility on interest income of commercial banks in Rwanda
... charge interest rates. Interest rate targets are a vital tool of monetary policy and are taken into account when dealing with variables like treasure loans, Treasury bill, interbank market and other ...
6
A Research on Interbank Loan Interest Rate Fluctuation Characteristics and the VaR Risk of China’s Commercial Banks
... 1) model, we selected 72 data of inter-bank lending rate from January to March of 2012 to make pre- ...est rate risk management of china’s commercial ...
7
Down Scaling Interest in Interest Rate
... The table illustrates the sizable difference between the future values-earnings over various payment periods. The larger the number of payments periods the larger is the future value. The rate of change of the ...
11
Quantitative Techniques for Spread Trading in Commodity Markets
... the mean- reversion property of the observed spread dataset using two subplots: the difference of standardized spread vs standardized spread and average of partitioned difference spread vs average of partitioned ...
175
Stability of demand for money function in Nepal: A cointegration and error correction modeling approach
... on interest rates as targets and adjusts the monetary aggregate through daily reserve management to whatever level is required to hit them, instability of the demand for money could make the required reserve ...
15
Pricing in electricity markets: a mean reverting jump diffusion model with seasonality
... of model which accounts for the mean reversion of prices, and in [12] Luc´ıa and Schwartz extend the range of these models to two-factor models which incorporate a deterministic seasonal com- ...of ...
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