Download or read book Generalized Method of Moments Estimation of Heath Jarrow Morton Models of Interest rate Contingent Claims written by Peter Albert Abken and published by . This book was released on 1994 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Generalized Method of Moments Estimation written by Laszlo Matyas and published by Cambridge University Press. This book was released on 1999-04-13 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.
Download or read book Consistency Problems for Heath Jarrow Morton Interest Rate Models written by Damir Filipovic and published by Springer Science & Business Media. This book was released on 2001-03-27 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bond markets differ in one fundamental aspect from standard stock markets. While the latter are built up to a finite number of trade assets, the underlying basis of a bond market is the entire term structure of interest rates: an infinite-dimensional variable which is not directly observable. On the empirical side, this necessitates curve-fitting methods for the daily estimation of the term structure. Pricing models, on the other hand, are usually built upon stochastic factors representing the term structure in a finite-dimensional state space. Written for readers with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, this research monograph has threefold aims: to bring together estimation methods and factor models for interest rates, to provide appropriate consistency conditions and to explore some important examples.
Download or read book Approximating Heath Jarrow Morton Non Markovian Term Structure of Interest Rate Models with Markovian Systems written by Ramaprasad Bhar and published by . This book was released on 2008 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider a Heath-Jarrow-Morton models for the term structure of interest rates in which the forward rate volatility is a function of the instantaneous spot rate of interest, a set of dicrete forward rates and time to maturity of the bond. We show how the stochastic dynamics may be expressed as a system of Markovian stochastic differential equations. We obtain the partial differential equation which allows the pricing of contingent claims in this framework.
Download or read book The Cardiac Test written by Roderick David Boothby and published by . This book was released on 1997 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Advanced Fixed Income Analysis written by Moorad Choudhry and published by Elsevier. This book was released on 2015-08-28 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry’s method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts. Presents practitioner-level theories and applications, never available in textbooks Focuses on financial markets, not mathematics Covers relative value investing, returns analysis, and risk estimation
Download or read book Numerical Methods for Heath Jarrow Morton Model of Interest Rates written by Maria Krivko and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The celebrated HJM framework models the evolution of the term structure of interest rates through the dynamics of the forward rate curve. These dynamics are described by a multifactor infinite-dimensional stochastic equation with the entire forward rate curve as state variable. Under no-arbitrage conditions, the HJM model is fully characterized by specifying forward rate volatility functions and the initial forward curve. In short, it can be described as a unifying framework with one of its most striking features being the generality: any arbitrage-free interest rate model driven by Brownian motion can be described as a special case of the HJM model. The HJM model has closed-form solutions only for some special cases of volatility, and valuations under the HJM framework usually require a numerical approximation. We propose and analyze numerical methods for the HJM model. To construct the methods, we first discretize the infinite-dimensional HJM equation in maturity time variable using quadrature rules for approximating the arbitrage-free drift. This results in a finite-dimensional system of stochastic differential equations (SDEs) which we approximate in the weak and mean-square sense. The proposed numerical algorithms are highly computationally efficient due to the use of high-order quadrature rules which allow us to take relatively large discretization steps in the maturity time without affecting overall accuracy of the algorithms. They also have a high degree of flexibility and allow to choose appropriate approximations in maturity and calendar times separately. Convergence theorems for the methods are proved. Results of some numerical experiments with European-type interest rate derivatives are presented.
Download or read book Empirical Tests of Two State variable HJM Models written by Robert R. Bliss and published by . This book was released on 1995 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Maximum Likelihood Approach to Estimation of Heath jarrow morton Models written by Ramaprasad Bhar and published by . This book was released on 2002 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Bond and Money Markets written by Moorad Choudhry and published by Butterworth-Heinemann. This book was released on 2003-07-04 with total page 1152 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Bond and Money Markets is an invaluable reference to all aspects of fixed income markets and instruments. It is highly regarded as an introduction and an advanced text for professionals and graduate students.Features comprehensive coverage of: * Government and Corporate bonds, Eurobonds, callable bonds, convertibles * Asset-backed bonds including mortgages and CDOs * Derivative instruments including futures, swaps, options, structured products* Interest-rate risk, duration analysis, convexity, and the convexity bias * The money markets, repo markets, basis trading, and asset/liability management * Term structure models, estimating and interpreting the yield curve * Portfolio management and strategies,total return framework, constructing bond indices * A stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis * Includes introductory coverage of very specialised topics (for which one previously required several texts) such as VaR, Asset & liability management and credit derivatives * Combines accessible style with advanced level topics
Download or read book The Fed in Print written by and published by . This book was released on 1994 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Valuation of Common Two Factor Interest Rate Contingent Claims written by Ghulam Sorwar and published by . This book was released on 2004 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous two-factor interest rate models have been proposed that have attempted to overcome the limitations of one-factor interest rate models. These two-factor interest rate models lead to complex valuation equations for interest rate contingent claims. These valuation equations can be expressed in the form of partial differential equations that can only be solved numerically. Sorwar and Barone-Adesi (2002) have recently extended the Box Method to solve second order partial differential equations. They find that the Box Method outperforms the existing finite difference scheme. In this paper we use their approach to value interest rate contingent claims based on a wide range of two-factor interest rate models. Our approach is to treat the first factor as the short term interest rate and the second factor as the long term interest rate. In this paper we use the Markov Chain Monte Carlo approach to estimate parameters based on two-factor, Vasicek, CIR and CKLS models. We find wide variation in parameter values across different models. We also find that these parameters have a major impact on contingent claim values. In particular we find a wide variation in contingent claim price across different models.
Download or read book Arbitrage Free Pricing of Interest Rate Contingent Claims written by Bjorn Flesaker and published by . This book was released on 1990 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Office for Futures and Options Research Paper written by and published by . This book was released on 1993 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Fixed Income Securities written by Pietro Veronesi and published by John Wiley & Sons. This book was released on 2016-03-23 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to the current theories and methodologies intrinsic to fixed-income securities Written by well-known experts from a cross section of academia and finance, Handbook of Fixed-Income Securities features a compilation of the most up-to-date fixed-income securities techniques and methods. The book presents crucial topics of fixed income in an accessible and logical format. Emphasizing empirical research and real-life applications, the book explores a wide range of topics from the risk and return of fixed-income investments, to the impact of monetary policy on interest rates, to the post-crisis new regulatory landscape. Well organized to cover critical topics in fixed income, Handbook of Fixed-Income Securities is divided into eight main sections that feature: • An introduction to fixed-income markets such as Treasury bonds, inflation-protected securities, money markets, mortgage-backed securities, and the basic analytics that characterize them • Monetary policy and fixed-income markets, which highlight the recent empirical evidence on the central banks’ influence on interest rates, including the recent quantitative easing experiments • Interest rate risk measurement and management with a special focus on the most recent techniques and methodologies for asset-liability management under regulatory constraints • The predictability of bond returns with a critical discussion of the empirical evidence on time-varying bond risk premia, both in the United States and abroad, and their sources, such as liquidity and volatility • Advanced topics, with a focus on the most recent research on term structure models and econometrics, the dynamics of bond illiquidity, and the puzzling dynamics of stocks and bonds • Derivatives markets, including a detailed discussion of the new regulatory landscape after the financial crisis and an introduction to no-arbitrage derivatives pricing • Further topics on derivatives pricing that cover modern valuation techniques, such as Monte Carlo simulations, volatility surfaces, and no-arbitrage pricing with regulatory constraints • Corporate and sovereign bonds with a detailed discussion of the tools required to analyze default risk, the relevant empirical evidence, and a special focus on the recent sovereign crises A complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, Handbook of Fixed-Income Securities is also a useful supplementary textbook for graduate and MBA-level courses on fixed-income securities, risk management, volatility, bonds, derivatives, and financial markets. Pietro Veronesi, PhD, is Roman Family Professor of Finance at the University of Chicago Booth School of Business, where he teaches Masters and PhD-level courses in fixed income, risk management, and asset pricing. Published in leading academic journals and honored by numerous awards, his research focuses on stock and bond valuation, return predictability, bubbles and crashes, and the relation between asset prices and government policies.
Download or read book The Implied Volatility of U S Interest Rates written by Robert R. Bliss and published by . This book was released on 1995 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Testing of Real Option Pricing Models written by Laura J. Quigg and published by . This book was released on 1992 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
