Download or read book Asymptotic Maturity Behavior of the Term Structure written by Klaas Schulze and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Asymptotic Behavior of the Term Structure of Interest Rates written by Maximilian Härtel and published by Cuvillier Verlag. This book was released on 2015-12-23 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-term interest rates are essential for the valuation and hedging of various fixed income products and derivatives as well as for the pricing of payments in a distant future, such as long-term infrastructure projects or compensatory adjustments in the course of an accident or a divorce. In the aftermath of the 2008 financial crisis the modeling of interest rate curves with a long time horizon became more and more important due to increased investments in long-term products. Therefore, the study of the asymptotic behavior of the term structure of interest rates has recently achieved new relevance. In this dissertation we investigate long-term interest rates, i.e. interest rates with maturity going to infinity, in the post-crisis interest rate market. Three different concepts of long-term interest rates are considered for this purpose: the long-term yield, the long-term simple rate, and the long-term swap rate. We analyze the properties as well as the interrelations of these long-term interest rates. In particular, we study the asymptotic behavior of the term structure of interest rates in some specific models. First, we compute the three long-term interest rates in the HJM framework with different stochastic drivers, namely Brownian motions, Lévy processes, and affine processes on the state space of positive semidefinite symmetric matrices. The HJM setting presents the advantage that the entire yield curve can be modeled directly. Furthermore, by considering increasingly more general classes of drivers, we were able to take into account the impact of different risk factors and their dependence structure on the long end of the yield curve. Finally, we study the long-term interest rates and especially the long-term swap rate in the Flesaker-Hughston model and the linear-rational methodology. Langfristige Zinssätze werden für die Bewertung und Absicherung von festverzinslichen Finanzprodukten und Derivaten mit langer Laufzeit benötigt, sowie bei der Preisberechnung von Zahlungen, die in weiter Zukunft liegen. Solche Zahlungen kann es beispielsweise bei langfristig angelegten Infrastrukturprojekten geben oder bei Ausgleichsregelungen im Falle eines Unfalls oder einer Scheidung. Gerade im Zuge der weltweiten Finanzkrise von 2008 wuchs das Interesse von Anlegern an Investments mit langem Zeithorizont und damit auch die Notwendigkeit Zinskurven weiter in die Zukunft zu modellieren und das Verhalten am langen Ende der Kurven möglichst genau zu bestimmen. Die vorliegende Arbeit widmet sich der Untersuchung des asymptotischen Verhaltens von Zinskurven. Zu diesem Zwecke werden drei verschiedene langfristige Zinssätze analysiert: der langfristige stetige Zinssatz, der langfristige diskrete Zinssatz und der langfristige Swapzinssatz. Diese langfristigen Zinsen werden definiert als Zinssätze deren Laufzeit gegen unendlich geht im Rahmen eines Zinsmarktes, der auf Erkenntnissen basiert, die aus der Finanzkrise gewonnen werden konnten. Alle modellunabhängigen relevanten Eigenschaften dieser Zinsen werden erläutert und die Zusammenhänge zwischen ihnen werden genauestens hinsichtlich ihrer Wechselbeziehungen untersucht. Darüber hinaus ist ein wichtiger Teil dieser Dissertation der Beschreibung des asymptotischen Verhaltens von Zinskurven in speziellen Zinsmodellen gewidmet. Diese Modelle umfassen das Zinsstrukturmodell von Heath, Jarrow und Morton, genannt HJM Framework, das Flesaker-Hughston Modell sowie das linear-rationale Modell. Das HJM Framework wird aufgrund der Möglichkeit der direkten Modellierung der gesamten Zinsstrukturkurve und aller dazugehörigen Terminkurse für die Analyse verwendet. Die stochastische Komponente wird erst mittels der Brownschen Bewegung beschrieben, dann durch einen Lévy Prozess und zuletzt mit Hilfe eines affinen Prozesses auf dem Zustandsraum von positiv semidefiniten und symmetrischen Matrizen. Der Gebrauch dieser stochastischen Prozesse kann als schrittweise Weiterentwicklung des HJM Frameworks verstanden werden, da jeweils mehr, die Zinsstruktur beeinflussende, Faktoren in die Modellierung mit einfließen können. Die anderen beiden vorgestellten Modelle, das Flesaker-Hughston Modell und das linear-rationale Modell, finden, wegen einiger attraktiver Eigenschaften, Anwendung in der Analyse des asymptotischen Zinskurvenverhaltens, wie zum Beispiel einfache Formeln für alle Zinssätze, die keine negativen Werte annehmen können.

Download or read book Interest Rate Risk Modeling written by Sanjay K. Nawalkha and published by John Wiley & Sons. This book was released on 2005-05-09 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.

Download or read book Martingale Methods in Financial Modelling written by Marek Musiela and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 521 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful maths tools.

Download or read book Term Structure Models written by Damir Filipovic and published by Springer Science & Business Media. This book was released on 2009-07-28 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.

Download or read book Asymptotic Chaos Expansions in Finance written by David Nicolay and published by Springer. This book was released on 2014-11-25 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic instantaneous volatility models such as Heston, SABR or SV-LMM have mostly been developed to control the shape and joint dynamics of the implied volatility surface. In principle, they are well suited for pricing and hedging vanilla and exotic options, for relative value strategies or for risk management. In practice however, most SV models lack a closed form valuation for European options. This book presents the recently developed Asymptotic Chaos Expansions methodology (ACE) which addresses that issue. Indeed its generic algorithm provides, for any regular SV model, the pure asymptotes at any order for both the static and dynamic maps of the implied volatility surface. Furthermore, ACE is programmable and can complement other approximation methods. Hence it allows a systematic approach to designing, parameterising, calibrating and exploiting SV models, typically for Vega hedging or American Monte-Carlo. Asymptotic Chaos Expansions in Finance illustrates the ACE approach for single underlyings (such as a stock price or FX rate), baskets (indexes, spreads) and term structure models (especially SV-HJM and SV-LMM). It also establishes fundamental links between the Wiener chaos of the instantaneous volatility and the small-time asymptotic structure of the stochastic implied volatility framework. It is addressed primarily to financial mathematics researchers and graduate students, interested in stochastic volatility, asymptotics or market models. Moreover, as it contains many self-contained approximation results, it will be useful to practitioners modelling the shape of the smile and its evolution.

Download or read book Financial Economics written by Antonio Mele and published by MIT Press. This book was released on 2022-11-22 with total page 1147 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference for financial economics, balancing theoretical explanations, empirical evidence, and the practical relevance of knowledge in the field. This volume offers a comprehensive, integrated treatment of financial economics, tracking the major milestones in the field and providing methodological tools. Doing so, it balances theoretical explanations, empirical evidence, and practical relevance. It illustrates nearly a century of theoretical advances with a vast array of models, showing how real phenomena (and, at times, market practice) have helped economists reformulate existing theories. Throughout, the book offers examples and solved problems that help readers understand the main lessons conveyed by the models analyzed. The book provides a unique and authoritative reference for the field of financial economics. Part I offers the foundations of the field, introducing asset evaluation, information problems in asset markets and corporate finance, and methods of statistical inference. Part II explains the main empirical facts and the challenges these pose for financial economists, which include excess price volatility, market liquidity, market dysfunctionalities, and the countercyclical behavior of market volatility. Part III covers the main instruments that protect institutions against the volatilities and uncertainties of capital markets described in part II. Doing so, it relies on models that have become the market standard, and incorporates practices that emerged from the 2007–2008 financial crisis.

Download or read book The Japanese Term Structure of Interest Rates written by Gary Stephen Shea and published by . This book was released on 1982 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Pricing Models in Continuous Time and Kalman Filtering written by B.Philipp Kellerhals and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: Straight after its invention in the early sixties, the Kalman filter approach became part of the astronautical guidance system of the Apollo project and therefore received immediate acceptance in the field of electrical engineer ing. This sounds similar to the well known success story of the Black-Scholes model in finance, which has been implemented by the Chicago Board of Op tions Exchange (CBOE) within a few month after its publication in 1973. Recently, the Kalman filter approach has been discovered as a comfortable estimation tool in continuous time finance, bringing together seemingly un related methods from different fields. Dr. B. Philipp Kellerhals contributes to this topic in several respects. Specialized versions of the Kalman filter are developed and implemented for three different continuous time pricing models: A pricing model for closed-end funds, taking advantage from the fact, that the net asset value is observable, a term structure model, where the market price of risk itself is a stochastic variable, and a model for electricity forwards, where the volatility of the price process is stochastic. Beside the fact that these three models can be treated independently, the book as a whole gives the interested reader a comprehensive account of the requirements and capabilities of the Kalman filter applied to finance models. While the first model uses a linear version of the filter, the second model using LIBOR and swap market data requires an extended Kalman filter. Finally, the third model leads to a non-linear transition equation of the filter algorithm.

Download or read book Asset Pricing written by B.Philipp Kellerhals and published by Springer Science & Business Media. This book was released on 2012-11-02 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. Integrates the latest research and includes a new chapter on financial modeling.

Download or read book Human Auditory Development written by Lynne Werner and published by Springer Science & Business Media. This book was released on 2011-12-15 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume will provide an important contemporary reference on hearing development and will lead to new ways of thinking about hearing in children and about remediation for children with hearing loss. Much of the material in this volume will document that a different model of hearing is needed to understand hearing during development. The book is expected to spur research in auditory development and in its application to pediatric audiology.

Download or read book Modeling and Valuation of Energy Structures written by Daniel Mahoney and published by Springer. This book was released on 2016-01-26 with total page 547 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value extraction through trading more difficult. These facts make it very easy for modeling efforts to run into serious problems, as many models are very sensitive to noise and hence can easily fail in practice. Modeling and Valuation of Energy Structures is a comprehensive guide to quantitative and statistical approaches that have been successfully employed in support of trading operations, reflecting the author's 17 years of experience as a front-office 'quant'. The major theme of the book is that simpler is usually better, a message that is drawn out through the reality of incomplete markets, small samples, and informational constraints. The necessary mathematical tools for understanding these issues are thoroughly developed, with many techniques (analytical, econometric, and numerical) collected in a single volume for the first time. A particular emphasis is placed on the central role that the underlying market resolution plays in valuation. Examples are provided to illustrate that robust, approximate valuations are to be preferred to overly ambitious attempts at detailed qualitative modeling.

Download or read book Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility written by Christian Hafner and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are discussed that cope with asymmetry and long memory of volatility as well as heterogeneity of higher conditional moments.

Download or read book Aspects of Globalisation written by Christopher Tsoukis and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reflecting on the breadth of its scope, Aspects of Globalisation is intended to serve a varied audience. Being at the forefront of research, it should appeal to academics, researchers and postgraduate students interested in new approaches and ideas for future research. To this end, the editors have encouraged the contributors to pursue varied themes and raise new issues, approach their subject matter in an analytically rigorous way, and to include fairly extended review sections within their papers, so as to make them useful to a wider readership. Furthermore, diverse methodologies are followed, including the widespread use of state-of-the-art econometrics, reflecting the recent trend in economic analysis. Equally importantly, many of the papers offer clear-cut policy conclusions and should therefore be of direct relevance to policy-minded analysts and policy-makers. We thus hope that the papers included here will provoke further research and ideas as well as contribute to ongoing policy debates. Its diversity, rigour and scope should be positive attributes of the volume and should make it a useful source of information for researchers and policy-makers alike.

Download or read book Advances in Financial Planning and Forecasting written by Cheng-Few Lee and published by Center for PBBEFR & Airiti Press. This book was released on 2008-12-01 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Quantitative Analysis of Finance and Accounting (New Series) is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and the accounting profession. The papers in this volume cover a wide range of topics including corporate finance and debt management, earnings management, equity market, auditing, option pricing theory, and interest rate theory. In this volume there are eleven chapters, five of them are corporate finance and debt management: 1. Liquidity and Adverse Selection: Evidence from the Five-or-Fewer Rule Change; 2. Changing Business Environment and the Value of Relevance of Accounting Information; 3. Pricing Risky Securities in Hidden Markov-Modulated Poisson Processes; 4. An Empirical Assessment of Alternative Dividend Expectation Models; 5. Quantitative Market Risk Disclosure, Bond Default Risk and The Cost of Debt: Why Value At Risk? There are two of the other six chapters which cover interest rate theory: 1. Positive Interest Rates and Yields: Additional Serious Considerations; 2. Collapse of Dimensionality in the Interest Rate Term Structure. The remaining four chapters cover financial analysts earnings forecasts, equity market, auditing, and option pricing theory. These four papers are: 1. Investors’ Apparent Under-weighting of Financial Analysts’ Earnings Forecasts: The Role of Share Price Scaling and Omitted Risk Factors; 2. Predicting Stock Price by Applying the Residual Income Model and Bayesian Statistics; 3. Intertemporal Associations Between Non-Audit Services and Auditors’ Tendency to Allow Discretionary Accruals; 4. Put Option Portfolio Insurance vs. Asset Allocation.

Download or read book Rational Expectations and the Term Structure of the Forward Premium written by Richard Baillie and published by . This book was released on 1983 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Dynamic Asset Pricing written by Kenneth J. Singleton and published by Princeton University Press. This book was released on 2009-12-13 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures. As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.