Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models
نویسندگان
چکیده
منابع مشابه
Arbitrage Restrictions and Multi-factor Models of the Term Structure of Interest Rates. 1 Arbitrage Restrictions and Multi-factor Models
In this paper we investigate models of the term structure where the factors are interest rates. As an example, we derive a no-arbitrage model of the term structure in which any two futures (as opposed to forward) rates act as factors. The term structure shifts and tilts as the factor rates vary. The cross-sectional properties of the model derive from the solution of a twodimensional autoregress...
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For many interest rate exotic options, for example options on the slope of the yield curve or American featured options, a one factor assumption for term structure evolution is inappropriate. These options derive their value from changes in the slope or curvature of the yield curve and hence are more realistically priced with multiple factor models. However, efficient construction of short rate...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2350873