An Empirical Comparison Of Alternative Models For Valuing Interest Rate Options PDF Download
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Author | : Wolfgang Bühler |
Publisher | : |
Total Pages | : 76 |
Release | : 1995 |
Genre | : |
ISBN | : |
Download An Empirical Comparison of Alternative Models for Valuing Interest Rate Options Book in PDF, ePub and Kindle
Author | : Clark Leavitt |
Publisher | : |
Total Pages | : 418 |
Release | : 1987 |
Genre | : Accounting fraud |
ISBN | : |
Download The Volatility of Short-term Interest Rates Book in PDF, ePub and Kindle
Author | : Wolfgang Bühler |
Publisher | : |
Total Pages | : 88 |
Release | : 1997 |
Genre | : |
ISBN | : |
Download An Empirical Comparison of Forward- and Spot-rate Models for Valuing Interest-rate Options Book in PDF, ePub and Kindle
Author | : Ta-Peng Wu |
Publisher | : |
Total Pages | : 298 |
Release | : 2000 |
Genre | : Options (Finance) |
ISBN | : |
Download An Empirical Comparison of Alternative Option Pricing Models Book in PDF, ePub and Kindle
Author | : Niraj Sinha |
Publisher | : |
Total Pages | : 228 |
Release | : 1997 |
Genre | : |
ISBN | : |
Download An Empirical Comparison of Three Interest Rate Option Pricing Models Book in PDF, ePub and Kindle
Author | : Mr.Vadim Khramov |
Publisher | : International Monetary Fund |
Total Pages | : 27 |
Release | : 2013-10-17 |
Genre | : Business & Economics |
ISBN | : 1475591225 |
Download Estimating Parameters of Short-Term Real Interest Rate Models Book in PDF, ePub and Kindle
This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although models for the nominal interest rate are well studied and estimated, dynamics of the real interest rate are rarely explored. Simple ad hoc processes for the short-term real interest rate are usually assumed as building blocks for more sophisticated models. In this paper, parameters of the real interest rate model are estimated in the broad class of single-factor interest rate diffusion processes on U.S. monthly data. It is shown that the elasticity of interest rate volatility—the relationship between the volatility of changes in the interest rate and its level—plays a crucial role in explaining real interest rate dynamics. The empirical estimates of the elasticity of the real interest rate volatility are found to be about 0.5, much lower than that of the nominal interest rate. These estimates show that the square root process, as in the Cox-Ingersoll-Ross model, provides a good characterization of the short-term real interest rate process.
Author | : Rajna Gibson |
Publisher | : Now Publishers Inc |
Total Pages | : 171 |
Release | : 2010 |
Genre | : Business & Economics |
ISBN | : 1601983727 |
Download Modeling the Term Structure of Interest Rates Book in PDF, ePub and Kindle
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.
Author | : Wolfgang Bühler |
Publisher | : |
Total Pages | : 86 |
Release | : 1997 |
Genre | : |
ISBN | : |
Download Hull-White Or Heath-Jarrow-Morton Type Models? Book in PDF, ePub and Kindle
Author | : Joshua V. Rosenberg |
Publisher | : |
Total Pages | : 33 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Empirical Tests of Interest Rate Model Pricing Kernels Book in PDF, ePub and Kindle
This paper estimates and tests consumption-based pricing kernels used in common equilibrium interest rate term structure models. In contrast to previous papers that use return orthogonality conditions, estimation in this paper is accomplished using moment conditions from a consumption-based option pricing equation and market prices of interest rate options. Thismethodology is more sensitive to preference misspecification over states associated with large changes in consumption than previous techniques. In addition, this methodology provides a large set of natural moment conditions to use in estimation and testing compared to an arbitrary choiceof return orthogonality conditions (e.g. instruments selected) used in GMM estimation. Eurodollar futures option prices and an estimated joint model of quarterly aggregate consumption and three month Eurodollar rates suggest are used to estimate and test pricing kernels based on logarithmic, power, and exponential utility functions. Using the market prices ofinterest rate options, evidence is found which is consistent with the equity premium puzzle; very high levels of risk aversion are needed to justify the observed premium associated with an investment position positively correlated with aggregate consumption. In addition, evidence isfound which is consistent with the riskfree rate puzzle: at high levels of risk-aversion for power or exponential utility, negative rates of time preference are needed to fit the observed low risklessinterest rates. These results suggest that typical term structure models are misspecified in terms of assumed preferences. This may have deleterious effects on model estimates of the interest rate term structure estimates and interest rate option prices.
Author | : John L. Knight |
Publisher | : |
Total Pages | : 60 |
Release | : 1999 |
Genre | : Derivative securities |
ISBN | : |
Download Pricing Interest Rate Derivatives in a Non-parametric Two-factor Term-structure Model Book in PDF, ePub and Kindle
Proposes a non-parametric two-factor term-structure model that imposes no restrictions on the functional forms of the diffusion functions.