Genetic Algorithm Estimation of Interest Rate Term Structure
نویسندگان
چکیده
منابع مشابه
Genetic Algorithm Estimation of Interest Rate Term Structure
The term structure of interest rates is an instrument that gives us the necessary information for valuing deterministic financial cash flows, measuring the economic market expectations and testing the effectiveness of monetary policy decisions. However, it is not directly observable and needs to be measured by smoothing data obtained from asset prices through statistical techniques. Adjusting p...
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The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by a severe small-sample problem arising from the highly persistent nature of interest rates. We propose using survey forecasts of a short-term interest rate as an additional input to the estimation to overcome the problem. The three-factor pure-Gaussian model thus est...
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Term structure models describe the evolution of the yield curve through time, without considering the influence of risk, tax, etc. Recently, uncertain processes were initialized and applied to option pricing and currency model. Under the assumption of short interest rate following uncertain processes, this paper investigates the term-structure equation. This equation is first derived for valuin...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.950982