Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?
نویسندگان
چکیده
منابع مشابه
Term Structure of Interest Rates
I nterest rates and their dynamics provide probably the most computationally difficult part of the modern financial theory. The modern fixed income market includes not only bonds but all kinds of derivative securities sensitive to interest rates. Moreover interest rates are important in pricing all other market securities since they are used in time discounting. Interest rates are also importan...
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In this survey, firstly I describe the fundamentals of interest rates and yield curves. After required background information for the term structure is established, I move on the main subject of this survey: Term Structure of Interest Rates. We can define the term structure of interest rates as calculation of the relation between the yields on default-free securities which only differ in their ...
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The eeect of incomplete information on the term structure of interest rates is examined in the framework of a pure exchange economy under uncertainty. When the growth rate of the aggregate endowment is known, the term structure is at and deterministic. When agents do not observe the (constant) growth rate, interest rates are stochas-tic and the term structure turns out to be linearly decreasing...
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We present compelling empirical evidence for a new interpretation of the Forward Rate Curve (frc) term structure. We find that the average frc follows a squareroot law, with a prefactor related to the spot volatility, suggesting a Value-at-Risk like pricing. We find a striking correlation between the instantaneous frc and the past spot trend over a certain time horizon. This confirms the idea o...
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ژورنال
عنوان ژورنال: The Journal of Fixed Income
سال: 2003
ISSN: 1059-8596,2168-8648
DOI: 10.3905/jfi.2003.319347