We present evidence on the changing dynamics of the yield curve from 1998 to 2011. We identify four different phases. As expected, the financial crisis represents a period of elevated yield volatility, but it can be split into two distinct periods. The split occurs when the Federal Reserve...

We present evidence on the changing dynamics of the yield curve from 1998 to2011. We identify four different phases. As expected, the financial crisis represents a period of elevated yield volatility, but it can be split into two distinct periods. The split occurs when the Federal Reserve...

We present evidence on the changing dynamics of the yield curve from 1998 to 2011. We identify four different phases. As expected, the financial crisis represents a period of elevated yield volatility, but it can be split into two distinct periods. The split occurs when the Federal Reserve...

This thesis builds a stochastic volatility model for the term structure of interest rates, which is also known as the dynamics of the yield curve. The main purpose of the model is to propose a parsimonious and plausible approach to capture some characteristics that conform to some empirical...

This paper concentrates on valuation of interest rate. Changes in the short rate captured in a stochastic model which generates a term structure of interest rates. Leading interest rate models are Vasicek model, Cox, Ingersoll & Ross model and Heath, Jarrow and Morton model. First two model are...