The Term Structure Of Interest Rates In A Simple Stochastic Growth Model
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The Term Structure Of Interest Rates In A Simple Stochastic Growth Model
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Author : David Kim
language : en
Publisher:
Release Date : 1998
The Term Structure Of Interest Rates In A Simple Stochastic Growth Model written by David Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Economic development categories.
Modeling The Term Structure Of Interest Rates
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Author : Rajna Gibson
language : en
Publisher: Now Publishers Inc
Release Date : 2010
Modeling The Term Structure Of Interest Rates written by Rajna Gibson and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
The Term Structure Of Interest Rates
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Author : David Feldman
language : en
Publisher:
Release Date : 2008
The Term Structure Of Interest Rates written by David Feldman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This short paper resolves an apparent contradiction between Feldman's (1989) and Riedel's (2000) equilibrium models of the term structure of interest rates under incomplete information. Feldman (1989) showed that in an incomplete information version of Cox, Ingersoll, and Ross (1985), where the stochastic productivity factors are unobservable, equilibrium term structures are interior and bounded. Interestingly, Riedel (2000) showed that an incomplete information version of Lucas (1978), with an unobservable constant growth rate, induces a corner unbounded equilibrium term structure: It decreases to negative infinity. This paper defines constant and stochastic asymptotic moments, clarifies the apparent conflict between Feldman's and Riedel's equilibria, and discusses implications. Because productivity and growth rates are not directly observable in the real world, the question we answer is of particular relevance.
Essays On The Term Structure Of Interest Rates
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Author : Wei Shi
language : en
Publisher:
Release Date : 1995
Essays On The Term Structure Of Interest Rates written by Wei Shi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.
A Macroeconomic Foundation For The Equilibrium Term Structure Of Interest Rates
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Author : Howard Kung
language : en
Publisher:
Release Date : 2013
A Macroeconomic Foundation For The Equilibrium Term Structure Of Interest Rates written by Howard Kung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This paper explores the term structure of interest rates implied by a stochastic endogenous growth model with imperfect price adjustment. The production and price-setting decisions of firms drive low-frequency movements in growth and inflation rates that are negatively related. With recursive preferences, these growth and inflation dynamics are crucial for rationalizing key stylized facts in bond markets. When calibrated to macroeconomic data, the model quantitatively explains the means and volatilities of nominal bond yields and the failure of the expectations hypothesis.
Models Of The Term Structure Of Interest Rates
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Author : John Y. Campbell
language : en
Publisher:
Release Date : 1994
Models Of The Term Structure Of Interest Rates written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Equilibrium (Economics) categories.
Building And Using Dynamic Interest Rate Models
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Author : Ken O. Kortanek
language : en
Publisher: John Wiley & Sons
Release Date : 2001-11-28
Building And Using Dynamic Interest Rate Models written by Ken O. Kortanek and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-11-28 with Business & Economics categories.
This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.
Interest Rate Models An Infinite Dimensional Stochastic Analysis Perspective
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Author : René Carmona
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-05-22
Interest Rate Models An Infinite Dimensional Stochastic Analysis Perspective written by René Carmona and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-05-22 with Mathematics categories.
This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM
A Non Linear Model Of The Term Structure Of Interest Rates
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Author : Nick Webber
language : en
Publisher:
Release Date : 1998
A Non Linear Model Of The Term Structure Of Interest Rates written by Nick Webber and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
In financial models of the term structure of interest rates, variation in the levels of rates, as well as day to day fluctuations in the value of rates, is explained by changes in the values of underlying stochastic state variables. This is unsatisfactory as the underlying state variables are often not associated with economic fundamentals. In this paper we present an economically motivated non-linear model of interest rates in which most of the large scale variation in rates is attributable to the chaotic evolution of explicitly modeled deterministic processes. A stochastic term with small variance is included in the model to represent 'noise' in the system. The model generalises existing stochastic mean models of interest rates. It successfully emulates certain properties of interest rates including a cyclical behaviour reminiscent of business cycles, and it casts light on the role of 'measurement error' in introducing risk into interest rate models.
A Simple Model Of The Nominal Term Structure Of Interest Rates
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Author : Youngsoo Choi
language : en
Publisher:
Release Date : 2008
A Simple Model Of The Nominal Term Structure Of Interest Rates written by Youngsoo Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.