The Term Structure Of Interest Rates In A Simple Stochastic Growth Model PDF Download
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Author | : David Kim |
Publisher | : |
Total Pages | : 42 |
Release | : 1998 |
Genre | : Economic development |
ISBN | : |
Download The Term Structure of Interest Rates in a Simple Stochastic Growth Model Book in PDF, ePub and Kindle
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 | : David Feldman |
Publisher | : |
Total Pages | : 16 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download The Term Structure of Interest Rates Book in PDF, ePub and Kindle
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.
Author | : Wei Shi |
Publisher | : |
Total Pages | : 198 |
Release | : 1995 |
Genre | : |
ISBN | : |
Download Essays on the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : René Carmona |
Publisher | : Springer Science & Business Media |
Total Pages | : 236 |
Release | : 2007-05-22 |
Genre | : Mathematics |
ISBN | : 3540270671 |
Download Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective Book in PDF, ePub and Kindle
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
Author | : Nick Webber |
Publisher | : |
Total Pages | : |
Release | : 1998 |
Genre | : |
ISBN | : |
Download A Non-Linear Model of the Term Structure of Interest Rates Book in PDF, ePub and Kindle
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.
Author | : John Y. Campbell |
Publisher | : |
Total Pages | : 68 |
Release | : 1994 |
Genre | : Equilibrium (Economics) |
ISBN | : |
Download Models of the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : Howard Kung |
Publisher | : |
Total Pages | : 37 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download A Macroeconomic Foundation for the Equilibrium Term Structure of Interest Rates Book in PDF, ePub and Kindle
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.
Author | : Ken O. Kortanek |
Publisher | : John Wiley & Sons |
Total Pages | : 248 |
Release | : 2001-11-28 |
Genre | : Business & Economics |
ISBN | : |
Download Building and Using Dynamic Interest Rate Models Book in PDF, ePub and Kindle
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.
Author | : Ricardo D. Brito |
Publisher | : |
Total Pages | : 134 |
Release | : 2001 |
Genre | : Interest rates |
ISBN | : |
Download Stochastic Growth and Monetary Policy Book in PDF, ePub and Kindle