Book [PDF] Arbitrage Free Modeling Of The Term Structure Of Interest Rates In Danish Download (2024)

Author: Claus Anderskov Madsen
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

Get Book Here

Book Description
Initially we set up the new framework developed by Heath, Jarrow and Morton (1987) and specifies the process for bond-prices, spot-rates and forward-rates assuming a deterministic volatility structure. However, the main contribution of this paper is in determining the bridge between this new modelling framework and the traditional yield-curve modelling approach. In that connection we consider the following one-factor models: Cox, Ingersoll and Ross (1985), Vasicek (1977) and Longstaff (1989). With respect to two-factor models we analyse the following 2 models: Longstaff and Schwartz (1991) and Vasicek and Fong (1991). Lastly, we also consider the general multi-factor gaussian yield-curve model from Langetieg (1980). With respect to these models we derive the embedded volatility structure and relate them to the HJM modelling framework. Next, using the Hull og White (1990b)/(1993) model, it is shown that when introducing a time-dependent parameter in the drift-specification and in the volatility-specification that it is possible to match both the initial yield-curve and the initial volatility structure - this derivation is performed using the HJM framework. Lastly, multiple candidate trinomial models is being derived/analysed for the Hull and White model.

Author: Jesper Lund (FIN)
Publisher:
ISBN:
Category :
Languages : en
Pages : 29

Get Book Here

Book Description

Author: Jesper Lund
Publisher:
ISBN:
Category :
Languages : en
Pages :

Get Book Here

Book Description

Author: Tom Engsted (FIN)
Publisher:
ISBN:
Category :
Languages : en
Pages : 12

Get Book Here

Book Description

Author: Jesper Lund
Publisher:
ISBN:
Category :
Languages : en
Pages : 29

Get Book Here

Book Description

Author: Jesper Lund
Publisher:
ISBN:
Category :
Languages : en
Pages : 29

Get Book Here

Book Description

Author: Marcel A. Priebsch
Publisher:
ISBN:
Category :
Languages : en
Pages :

Get Book Here

Book Description
This dissertation studies topics of current interest in modeling the term structure of interest rates. Chapter 1 develops and estimates a canonical arbitrage-free dynamic term structure model that incorporates macroeconomic variables. The model allows macroeconomic variables to contain information about future yields that is not reflected in the current cross section of yields ("unspanned" macro variables). Moreover, it accommodates rich feedback between macroeconomic and yield variables. Chapters 2 and 3 analyze the behavior of yields in low-interest environments. Standard Gaussian term structure models do not impose a lower bound on yields. As shown in Chapter 2, this can lead to estimation bias when a lower bound is present in the data. Chapter 3 develops a new technique for fast and accurate approximation of arbitrage-free bond yields in a class of "shadow rate" models that formally impose a lower bound on observed yields. Chapter 4 ties together the previous three chapters. It sets up and estimates a shadow rate term structure model with unspanned macro variables, and uses the model to analyze interest rate expectations before, during, and in the aftermath of the recent financial crisis.

Author: Tom Engsted
Publisher:
ISBN:
Category :
Languages : en
Pages : 12

Get Book Here

Book Description

Author: Jonathan A. Batten
Publisher: John Wiley & Sons
ISBN: 0470092874
Category : Business & Economics
Languages : en
Pages : 504

Get Book Here

Book Description
The introduction of the euro in 1999 cast a new focus on the financial markets of constituent euro-zone countries, which have subsequently emerged with the second largest bond market in the world. This new book offers in depth insights and advice for any practitioner in the European fixed-income and ancillary derivative markets, and includes in-depth analysis of euro and non-euro markets as well as emerging countries.

Author: Sandra Peterson
Publisher:
ISBN:
Category :
Languages : en
Pages : 54

Get Book Here

Book Description