Search Results - subject:"Term structure"

A term structure model and the pricing of interest rate options

Sandmann, Klaus; Sondermann, Dieter - University of Bonn, Germany

Persistent link: https://www.econbiz.de/10005028462

The informational value of crude oil futures prices.

Lautier, Delphine - Université Paris-Dauphine

In order to enhance the understanding of the term structure of commodity prices, this article examines the temporal … conveyed by some futures prices is useless to reconstitute the rest of the curve. Empirical tests are carried out with a term … structure model, whose performances depend on the informational value of the futures prices retained for its estimation. The …

Persistent link: https://www.econbiz.de/10008532638

Option Valuation under Stochastic Volatility

Lewis, Alan L. - Finance Press

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a...

Persistent link: https://www.econbiz.de/10005696665

DOES THE SPOT CURVE CONTAIN INFORMATION ON FUTURE MONETARY POLICY IN COLOMBIA?

Román, Juan Manuel Julio - Banco de la Republica de Colombia

deriving expectations from the spot curve is the Expectations Hypothesis of the Term Structure of the Interest Rates. According …

Persistent link: https://www.econbiz.de/10005274357

Explaining the Term Structure of Interest Rates. The GKO Market from 1996 to 1998

Olga, Kryukovskaya - EERC Research Network, Russia and CIS

The project is devoted to the analysis of the term structure of interest rates at the Russian GKO market during the …

Persistent link: https://www.econbiz.de/10005187712