Search Results - subject:"Interest Rate Models"

Bayesian Analysis of Continuous Time Models of the Australian Short Rate

Sanford, Andrew D.; Martin, Gael - Department of Econometrics and Business Statistics, … - 2004

This paper provides an empirical analysis of a range of alternative single-factor continuous time models for the Australian short-term interest rate. The models are indexed by the level effect parameter for the volatility in the short rate process. The inferential approach adopted is Bayesian,...

Persistent link: https://www.econbiz.de/10005427611

Calibration of Interest Rate Models - Transition Market Case

Vojtek, Martin - Center for Economic Research and Graduate Education and … - 2004

A methodology to calibrate multifactor interest rate model for transition countries is proposed. The usual methodology of calibration with implied volatility cannot be used as there are no markets for regularly traded derivatives. The existence of such a markets is essential for this...

Persistent link: https://www.econbiz.de/10005146530

Exchange and Interest Rates prior to EMU: The Case of Greece

Antzoulatos, Angelos A.; Wilfling, Bernd - 2003

Recently a variety of exchange and interest rate models capturing the dynamics during the transition from an exchange …

Persistent link: https://www.econbiz.de/10010295377

On the geometry of interest rate models

Björk, Tomas - 2003

dimensional state space model. We consider interest rate models of Heath-Jarrow-Morton type, where the forward rates are driven by …

Persistent link: https://www.econbiz.de/10010281370

Exchange and Interest Rates prior to EMU: The Case of Greece

Antzoulatos, Angelos A.; Wilfling, Bernd - HWWA Institut für Wirtschaftsforschung - 2003

Recently a variety of exchange and interest rate models capturing the dynamics during the transition from an exchange …

Persistent link: https://www.econbiz.de/10010957390

On the Geometry of Interest Rate Models

Björk, Tomas - Economics Institute for Research (SIR), … - 2003

finite dimensional state space model. <p> We consider interest rate models of Heath-Jarrow-Morton type, where the forward …On the Geometry of Interest Rate Models ∗ Tomas Bj¨ork † Department of Finance Stockholm School of Economics, Box 6501 … dimensional state space model. We consider interest rate models of Heath-Jarrow-Morton type, where the forward rates are driven by …

Persistent link: https://www.econbiz.de/10005771171

Exchange and Interest Rates prior to EMU: The Case of Greece

Antzoulatos, Angelos A.; Wilfling, Bernd - HWWA Institut für Wirtschaftsforschung - 2003

Recently a variety of exchange and interest rate models capturing the dynamics during the transition from an exchange …

Persistent link: https://www.econbiz.de/10005801358

Simulation-Based Bayesian Estimation of Affine Term Structure Models

Sanford, Andrew D.; Martin, Gael M. - Department of Econometrics and Business Statistics, … - 2003

This paper demonstrates the application of Bayesian simulation-based estimation to a class of interest rate models …

Persistent link: https://www.econbiz.de/10005149102

Fast approximations of bond option prices under CKLS models

Tangman, D.Y.; Thakoor, N.; Dookhitram, K.; Bhuruth, M. - In: Finance Research Letters 8 (2011) 4, pp. 206-212

A new computational method for approximating prices of zero-coupon bonds and bond option prices under general Chan–Karolyi–Longstaff–Schwartz models is proposed. The pricing partial differential equations are discretized using second-order finite difference approximations and an...

Persistent link: https://www.econbiz.de/10010599677

IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA

AIHARA, SHIN ICHI; BAGCHI, ARUNABHA - In: International Journal of Theoretical and Applied … 13 (2010) 02, pp. 259-283

We consider a slight perturbation of the Hull-White short rate model and the resulting modified forward rate equation. We identify the model coefficients by using the martingale property of the normalized bond price. The forward rate and the system parameters are then estimated by using the...

Persistent link: https://www.econbiz.de/10008467155