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We consider interest rate models of Heath-Jarrow-Morton type where the forward rates are driven by a multidimensional Wiener process, and where the volatility structure is allowed to be a smooth functional of the present forward rate curve. In a recent paper (to appear in Mathematical Finance )...
Persistent link: https://www.econbiz.de/10010281380
We consider interest rate models of Heath-Jarrow-Morton type where the forward rates are driven by a multidimensional Wiener process, and where the volatility structure is allowed to be a smooth functional of the present forward rate curve. <p> In a recent paper (to appear in "Mathematical Finance"...</p>
Persistent link: https://www.econbiz.de/10005190896
This paper demonstrates how, without mechanically applying any formula like Nelson-Siegel or Nelson-Siegel-Svensson straight cut, a short term yield curve can intuitively be constructed with traded securities and then plugging the gaps with regression and cubic splines on case by case basis,...
Persistent link: https://www.econbiz.de/10008765915
In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure...
Persistent link: https://www.econbiz.de/10010883222
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I document a sizeable bias that might arise when valuing out of the money American options via the Least Square Method proposed by Longstaff and Schwartz (2001). The key point of this algorithm is the regression-based estimate of the continuation value of an American option. If this regression...
Persistent link: https://www.econbiz.de/10013200477
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Determining the trend of fiscal pressure in Romania with analytical methods requires calculating the linear trend, the parabolic and the modified exponential one using the least square method. Then, with the help of absolute deviations between empirical and theoretical values will choose the...
Persistent link: https://www.econbiz.de/10010614631