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The interest rate term structure

A ffine Regime-Switching Models for Interest Rate Term Structure

A ffine Regime-Switching Models for Interest Rate Term Structure

... for Interest Rate Term Structure Shu Wu and Yong Zeng ...dynamic term structure model under diffusion and regime shifts with time varying transition ...

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Bootstrapping the interest-rate term structure

Bootstrapping the interest-rate term structure

... • Solve for the appropriate forward rate that give null NPV to the given swap.. QuantLib: forward curve[r] ...

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Bootstrapping the interest-rate term structure

Bootstrapping the interest-rate term structure

... Consistent interest-rate curve We need a consistent interest-rate curve in order to • Understand the current market conditions (e.g. forward rates) • Compute the at-the-money strikes for ...

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What moves the interest rate term structure?

What moves the interest rate term structure?

... the term structure show whether policy actions directly affect distant forward rates or whether the effects die after medium ...entire term structure of interest rates as policy ...

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Calibration of interest rate term structure and derivative pricing models

Calibration of interest rate term structure and derivative pricing models

... In chapter 5 we show the Duffle and Kan model is unlikely to be used much in practice because it is exceedingly difficult to specify parameters for the model such that the state variable[r] ...

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Interest Rate Term Structure Decomposition: An Axiomatic Structural Approach

Interest Rate Term Structure Decomposition: An Axiomatic Structural Approach

... Keywords: term structure decomposition, optimization, market efficiency ...forward interest rates has long been standard in financial analysis, for instance in pricing new financial instruments and ...

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Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of Government Bond Yields

Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of Government Bond Yields

... type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic ...the term structure and are associated with the time- ...

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A generalized one-factor term structure model and pricing of interest rate derivative securities

A generalized one-factor term structure model and pricing of interest rate derivative securities

... simple structure and the computational tractability, and at the same time allows for maximal flexibility in fitting into the ...spot rate approach of mod- eling term structure dynamics; ...

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Term Structure Of Interest Rates Example

Term Structure Of Interest Rates Example

... discount rate term structure of interest rates example, these building a market segmentation theory, the shape of the development of ...most Term Structure of Interest ...

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Uncovered Interest Rate Parity and the Term Structure

Uncovered Interest Rate Parity and the Term Structure

... This Table provides the empirical distributions of various economic statistics for the UIRP regressions under the null that the exchange rate process and the short rate processes are random walks with a ...

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Valuation of Interest Rate Options in a Two-Factor Model of the Term Structure of Interest Rate.

Valuation of Interest Rate Options in a Two-Factor Model of the Term Structure of Interest Rate.

... instantaneous interest rate is a function of the two ...the term structure of interest ...short rate, the short term mean and the current volatility of the short ...

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Exchange rate dynamics and the term structure of interest rates

Exchange rate dynamics and the term structure of interest rates

... It follows that any empirical test of the relationship between the exchange rate and the term structure of interest rates necessitates the utilisation of a measure of the yield curve wh[r] ...

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Term structure of interest rate. european financial integration.

Term structure of interest rate. european financial integration.

... the term structures of interest rates with a theNS model to analyze the term structure of interest rate of the last ...these term structures in six different countries: ...

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Fiscal Policy and Term Structure of Interest Rate in Nigeria

Fiscal Policy and Term Structure of Interest Rate in Nigeria

... future interest rates. The liquidity preference theory states that short term bonds are more desirable than long term bonds because former are more ...the term structure by the ...

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Combining term structure of interest rate forecasts: The Brazilian case

Combining term structure of interest rate forecasts: The Brazilian case

... Keywords: Interest rate; Forecast model; Combined forecast Resumo Problemas como quebras estruturais e vieses causados por má-especificac¸ão dificultam achar um modelo de previsão de estrutura a termo de ...

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The information in term structure interest rate spreads: the Irish case

The information in term structure interest rate spreads: the Irish case

... "The Information Content of the Term Structure of Interest Rates: Theory and Practice"', Paper presented at Money Study Group Annual Conference, September 1989.. "The Inter[r] ...

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The effect of interest rate options hedging on term-structure dynamics

The effect of interest rate options hedging on term-structure dynamics

... five-year interest rates as the product of short-term liquidity ...maturity interest rates show no evidence of such feedback ...short-term interest rate products, where market ...

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ON A MODEL FOR THE TERM STRUCTURE OF INTEREST RATE PROCESSES OF STABLE TYPE

ON A MODEL FOR THE TERM STRUCTURE OF INTEREST RATE PROCESSES OF STABLE TYPE

... an interest rate process describes the profitability of a financial instrument, such as stock, bond or ...the interest rate process has in the simplest case the ...

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The Term Structure of Interest Rates and Monetary Policy during a Zero Interest Rate Period

The Term Structure of Interest Rates and Monetary Policy during a Zero Interest Rate Period

... zero interest rate and quantitative easing policies were initially perceived as credible and were expected to last for some considerable ...low interest rate periods, but this trend was absent ...

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International Interest-Rate Risk Premia in Affine Term Structure Models

International Interest-Rate Risk Premia in Affine Term Structure Models

... (short) rate within a time ...dynamic term structure models (ATSM) are the most popular among the class of no-arbitrage term structure ...for interest rates and such models are ...

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