منابع مشابه
Finite hedging in field theory models of interest rates.
We use path integrals to calculate hedge parameters and efficacy of hedging in a quantum field theory generalization of the Heath, Jarrow, and Morton [Robert Jarrow, David Heath, and Andrew Morton, Econometrica 60, 77 (1992)] term structure model, which parsimoniously describes the evolution of imperfectly correlated forward rates. We calculate, within the model specification, the effectiveness...
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The noise field describes the external shocks of the economy on the different maturities of the forward rates; its statistics is governed by the exponential of an ‘action’ S[A], which gives the weight of a given path of A in the two dimensional space x, t, and is defined on the semi-infinite domain x ≥ t. The simplest action that factors in the one dimensional nature of the forward rate string ...
متن کامل“Stiff” Field Theory of Interest Rates and Psychological Future Time
The simplest field theory description of the multivariate statistics of forward rate variations over time and maturities, involves a quadratic action containing a gradient squared rigidity term. However, this choice leads to a spurious kink (infinite curvature) of the normalized correlation function for coinciding maturities. Motivated by empirical results, we consider an extended action that c...
متن کاملOvernight borrowing, interest rates and extreme value theory
We examine the dynamics of extreme values of overnight borrowing rates in an inter-bank money market before a financial crisis during which overnight borrowing rates rocketed up to (simple annual) 4000 percent. It is shown that the generalized Pareto distribution fits well to the extreme values of the interest rate distribution. We also provide predictions of extreme overnight borrowing rates b...
متن کاملThe Discount Rate and Market Interest Rates: Theory and Evidence
HE relationship between the Federal Reserve’s discount rate and money market interest rates continues to be a topic of nuch interest and even more confusion. A significant number’ of money mar-ket analysts and some in public service believe that the discount rate is an iniportant tool through which the Federal Reserve exerts its influence overthe economy — particularly market interest rates. Th...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2020
ISSN: 1945-497X
DOI: 10.1137/19m1263042