Search Results - subject:"Interest Rate Models"

Empirical analysis of quantum finance interest rates models

Baaquie, Belal E.; Yang, Cao - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 13, pp. 2666-2681

Empirical forward interest rates drive the debt markets. Libor and Euribor futures data is used to calibrate and test models of interest rates based on the formulation of quantum finance. In particular, all the model parameters, including interest rate volatilities, are obtained from market...

Persistent link: https://www.econbiz.de/10010874478

Testing Affine Term Structure Models in Case of Transaction Costs

Driessen, Joost; Melenberg, Bertrand; Nijman, Theo - Tilburg University, Center for Economic Research - 1999

In this paper we empirically analyze the impact of transaction costs on the performance of affine interest rate models … assumption of frictionless markets, strong evidence of misspecification of one- and two-factor affine interest rate models. This … one- and two-factor affine interest rate models becomes statistically insignificant and economically very small. For …

Persistent link: https://www.econbiz.de/10011091459

On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models

Björk, Tomas; Svensson, Lars - Economics Institute for Research (SIR), … - 1999

We consider interest rate models of Heath-Jarrow-Morton type, where the forward rates are driven by a multidimensional …

Persistent link: https://www.econbiz.de/10005649356

A positive interest rate model with sticky barrier

Kabanov, Yuri; Kijima, Masaaki; Rinaz, Sofiane - In: Quantitative Finance 7 (2007) 3, pp. 269-284

This paper proposes an efficient model for the term structure of interest rates when the interest rate takes very small values. We make the following choices: (i) we model the short-term interest rate, (ii) we assume that once the interest rate reaches zero, it stays there and we have to wait...

Persistent link: https://www.econbiz.de/10005495751

Interest Rate Dynamics and Consistent Forward Rate Curves

Björk, Tomas; Christensen, Bent Jesper - Economics Institute for Research (SIR), … - 1997

We derive general necessary and sufficient conditions for the mutual consistency of a given parametrized family of forward rate curves and the dynamics of a given interest rate model. Consistency in this context means that the interest rate model will produce forward rate curves belonging to the...

Persistent link: https://www.econbiz.de/10005649286

PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD

BAYRAKTAR, ERHAN; CHEN, LI; POOR, H. VINCENT - In: International Journal of Theoretical and Applied … 09 (2006) 05, pp. 777-785

Given a Heath–Jarrow–Morton (HJM) interest rate model $\mathcal{M}$ and a parametrized family of finite dimensional forward rate curves $\mathcal{G}$, this paper provides a technique for projecting the infinite dimensional forward rate curve rt given by $\mathcal{M}$ onto the finite...

Persistent link: https://www.econbiz.de/10005050503

Polynomial Algorithms for Pricing Path-Dependent Interest Rate Instruments

Hochreiter, Ronald; Pflug, Georg - In: Computational Economics 28 (2006) 3, pp. 291-309

In this paper we study algorithms for pricing of interest rate instruments using recombining tree (scenario lattice) interest models. The price is defined as expected discounted cash flow. If the cash-flow generated by the instrument depends on the full or partial history of interest rates...

Persistent link: https://www.econbiz.de/10005701685

Arbitrage with Fixed Costs and Interest Rate Models

Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine (Paris IX) - 2006

In this paper, we study securities market models with fixed costs. We characterize the absence of arbitrage opportunities and we provide fair pricing rules. We then apply these results to extend some popular interest rate and option pricing models, which present arbitrage opportunities in the...

Persistent link: https://www.econbiz.de/10010706959

A chaotic approach to interest rate modelling

Hughston, Lane; Rafailidis, Avraam - In: Finance and Stochastics 9 (2005) 1, pp. 43-65

interest rate models, valid on all time horizons, in the case of a discount bond system driven by a Brownian motion of one or … expansion technique is then used to formulate a systematic analysis of the structure and classification of interest rate models …

Persistent link: https://www.econbiz.de/10005613450

AFFINE LATTICE MODELS

ALBANESE, CLAUDIO; KUZNETSOV, ALEXEY - In: International Journal of Theoretical and Applied … 08 (2005) 02, pp. 223-238

We introduce a new class of lattice models based on a continuous time Markov chain approximation scheme for affine processes, whereby the approximating process itself is affine. A key property of this class of lattice models is that the location of the time nodes can be chosen in a payoff...

Persistent link: https://www.econbiz.de/10005050496