Interest-Rate Modeling Conundrums

Investigating the Relationship between the Facility Interest Rate and the Bank Deposit Interest Rate in Iran

The facility interest rate is one of the most important macroeconomic variables. The bank facility interest rate is associated with other macro-economic variables, one of which is the bank deposit interest rate. Using the time series data of the 1973-2017 period and the simultaneous equation system, the researchers estimated four equations using the three-stage least squares method.The result o...

Threshold estimation of jump-diffusion models and interest rate modeling∗

We introduce nonparametric estimators of the coefficients of a univariate jump-diffusion process when observations are recorded discretely. We allow the drift, diffusion and intensity function to be level dependent. We also show that the estimator of the diffusion coefficient is consistent even if the jump process has infinite activity. Our results rely on the fact that it is possible to disent...

Machine learning analysis and modeling of interest rate curves

The present research deals with the review of the analysis and modeling of Swiss franc interest rate curves (IRC) by using unsupervised (SOM, Gaussian Mixtures) and supervised machine (MLP) learning algorithms. IRC are considered as objects embedded into different feature spaces: maturities; maturity-date, parameters of Nelson-Siegel model (NSM). Analysis of NSM parameters and their temporal an...

Application of MCMC Algorithm in Interest Rate Modeling

Interest rate modeling is a challenging but important problem in financial econometrics. This work is concerned with the parameter estimation of the short term interest models. In light of a recent development in Markov Chain Monte Carlo simulation techniques based on Gibbs sampling, numerical experimentations are carried out for finding an effective and convergent Beyesian estimation scheme. T...

Pe Ct Iv Es . . Interest Rate Modeling : a Conscientious Choice