Faster solutions for Black zero lower bound term structure models

The Black framework offers a theoretically appealing way to model the term structure and gauge the stance of monetary policy when the zero lower bound of interest rates becomes constraining, but it is time consuming to apply using standard numerical methods. I outline a faster Monte Carlo simulation method for Black implementions, illustrate its performance for a one factor model, and then discuss the ready extension to models with multiple factors.

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Year of publication:	2013-09
Authors:	Krippner, Leo
Institutions:	Crawford School of Public Policy, Australian National University
Subject:	Black framework \| zero lower bound \| shadow short rate \| term structure model

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Extent:	application/pdf
Series:	CAMA Working Papers.
Type of publication:	Book / Working Paper
Notes:	9 pages
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010860349