The Affine Arbitrage Free Class Of PDF Download
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Author | : Jens H. E. Christensen |
Publisher | : |
Total Pages | : 54 |
Release | : 2007 |
Genre | : Econometric models |
ISBN | : |
Download The Affine Arbitrage-free Class of Nelson-Siegel Term Structure Models Book in PDF, ePub and Kindle
We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our empirical analysis shows that imposing the Nelson-Siegel structure on this canonical representation greatly improves its empirical tractability; furthermore, we find that improvements in predictive performance are achieved from the imposition of absence of arbitrage.
Author | : Jens Henrik Eggert Christensen |
Publisher | : |
Total Pages | : 38 |
Release | : 2010 |
Genre | : |
ISBN | : |
Download The Affine Arbitrage-Free Class of Book in PDF, ePub and Kindle
We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our empirical analysis shows that imposing the Nelson-Siegel structure on this canonical representation greatly improves its empirical tractability; furthermore, we find that improvements in predictive performance are achieved from the imposition of absence of arbitrage.
Author | : Jagjit S. Chadha |
Publisher | : Cambridge University Press |
Total Pages | : 571 |
Release | : 2014-02-06 |
Genre | : Business & Economics |
ISBN | : 1107044553 |
Download Developments in Macro-Finance Yield Curve Modelling Book in PDF, ePub and Kindle
State-of-the-art research from academics and policymakers on the role of and challenges to monetary policy during the ongoing financial crisis.
Author | : Francis X. Diebold |
Publisher | : Princeton University Press |
Total Pages | : 225 |
Release | : 2013-01-15 |
Genre | : Business & Economics |
ISBN | : 1400845416 |
Download Yield Curve Modeling and Forecasting Book in PDF, ePub and Kindle
Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Author | : Ken Nyholm |
Publisher | : Cambridge University Press |
Total Pages | : 152 |
Release | : 2021-01-07 |
Genre | : Business & Economics |
ISBN | : 1108982301 |
Download A Practitioner's Guide to Discrete-Time Yield Curve Modelling Book in PDF, ePub and Kindle
This Element is intended for students and practitioners as a gentle and intuitive introduction to the field of discrete-time yield curve modelling. I strive to be as comprehensive as possible, while still adhering to the overall premise of putting a strong focus on practical applications. In addition to a thorough description of the Nelson-Siegel family of model, the Element contains a section on the intuitive relationship between P and Q measures, one on how the structure of a Nelson-Siegel model can be retained in the arbitrage-free framework, and a dedicated section that provides a detailed explanation for the Joslin, Singleton, and Zhu (2011) model.
Author | : B.Philipp Kellerhals |
Publisher | : Springer Science & Business Media |
Total Pages | : 247 |
Release | : 2012-11-02 |
Genre | : Business & Economics |
ISBN | : 3540246975 |
Download Asset Pricing Book in PDF, ePub and Kindle
Covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. Integrates the latest research and includes a new chapter on financial modeling.
Author | : Jin-Chuan Duan |
Publisher | : Springer Science & Business Media |
Total Pages | : 791 |
Release | : 2011-10-25 |
Genre | : Business & Economics |
ISBN | : 3642172547 |
Download Handbook of Computational Finance Book in PDF, ePub and Kindle
Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.
Author | : Iris Claus |
Publisher | : John Wiley & Sons |
Total Pages | : 400 |
Release | : 2019-02-27 |
Genre | : Business & Economics |
ISBN | : 1119565197 |
Download Contemporary Topics in Finance Book in PDF, ePub and Kindle
The literature surveys presented in this edited volume provide readers with up-to-date reviews on eleven contemporary topics in finance. Topics include unconventional monetary policy, implicit bank guarantees, and financial fraud - all linked to the exceptional event of the Global Financial Crisis Explores how recent studies on inflation risk premia and finance and productivity have benefitted from new empirical methods and the availability of relevant data Demonstrates how angel investing, venture capital, relationship lending and microfinance have benefitted from increased research as they have become more seasoned Investigates crowdfunding and crypto-currencies which have both arisen from recent technological developments
Author | : International Monetary Fund |
Publisher | : International Monetary Fund |
Total Pages | : 64 |
Release | : 2010-11-01 |
Genre | : Business & Economics |
ISBN | : 1455209589 |
Download On the Estimation of Term Structure Models and An Application to the United States Book in PDF, ePub and Kindle
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
Author | : L. Krippner |
Publisher | : Springer |
Total Pages | : 436 |
Release | : 2015-01-05 |
Genre | : Business & Economics |
ISBN | : 1137401826 |
Download Zero Lower Bound Term Structure Modeling Book in PDF, ePub and Kindle
Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.