منابع مشابه
Three-factor Interest Rate Models
A three-factor interest rate model defined on a finite domain has been provided. All the functions in the model can be obtained from the real markets. It has been proven that a final-value problem of the corresponding partial differential equation on a finite domain has a unique solution. Because the formulation of the problem is on a finite domain and correct, it is not difficult to design eff...
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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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We describe a full maximum-likelihood fitting method of the popular single-factor Vasicek and Cox–Ingersoll–Ross models and carry this out for term-structure data from the UK and US. This method contrasts with the usual practice of performing a day-by-day fit. We also compare the results with some more crude econometric analyses on the same data sets. © 2000 Elsevier Science B.V. All rights res...
متن کاملChapter Iv - Interest Rate Models
Observe that the forward rate F (t, T0, T1) and the swap rate R(t) are known today (time t = 0) from today’s yield curve, but for t > 0 they are unknown and are therefore random variables. In order to value interest rate derivatives we need to model these random variables. To see how we might go about this we consider one of the simplest interest rate derivativesan interest rate cap on a loan. ...
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ژورنال
عنوان ژورنال: Communications in Mathematical Sciences
سال: 2003
ISSN: 1539-6746,1945-0796
DOI: 10.4310/cms.2003.v1.n3.a8