Download or read book Jump diffusion Processes and the Term Structure of Interest Rates written by Chang Mo Ahn and published by . This book was released on 1986 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Jump Diffusion Processes and the Bond Markets written by Sanjiv Ranjan Das and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops models of the term structure when the short rate follows a jump-diffusion process. An empirical implementation demonstrates that jump-diffusions better explain interest rate behavior than pure diffusion models. The fit is shown to be improved by an augmented jump-diffusion time varying volatility model proposed here. The effect of skewness and kurtosis on the term structure of interest rates is analyzed. The economic implications of jump activity are explored with the analysis of changes in Federal Reserve target rates and their relationship to the term structure.

Download or read book On the Term Structure of Interbank Interest Rates Jump diffusion Processes and Option Pricing written by Manuel Moreno and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On the Term Structure of Interbank Interest Rates written by Manuel Moreno and published by . This book was released on 1996 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On the Term Structure of Interbank Interest Rates written by Manuel Moreno and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study the dynamic behavior of the term structure of Interbank interest rates and the pricing of options on interest rate sensitive securities. We posit a generalized single factor model with jumps to take into account external influences in the market. Daily data is used to test for jump effects. Qualitative examination of the linkage between Monetary Authorities interventions and jumps are studied. Pricing results suggests a systematic underpricing in bonds and call options if the jump component is not included. However, the pricing of put options on bonds presents indeterminacies.

Download or read book Term Structure Models of Interest Rates with Jump diffusion Information written by Koji Kusuda and published by . This book was released on 2003 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Jump diffusion Term Structure and Ito Conditional Moment Generator written by Hao Zhou and published by . This book was released on 2001 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Jump diffusion Processes and Affine Term Structure Models written by J. Benson Durham and published by . This book was released on 2005 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Affine term structure models in which the short rate follows a jump-diffusion process are difficult to solve, and the parameters of such models are hard to estimate. Without analytical answers to the partial difference differential equation (PDDE) for bond prices implied by jump-diffusion processes, one must find a numerical solution to the PDDE or exactly solve an approximate PDDE. Although the literature focuses on a single linearization technique to estimate the PDDE, this paper outlines alternative methods that seem to improve accuracy. Also, closed-form solutions, numerical estimates, and closed-form approximations of the PDDE each ultimately depend on the presumed distribution of jump sizes, and this paper explores a broader set of possible densities that may be more consistent with intuition, including a bi-modal Gaussian mixture. GMM and MLE of one- and two-factor jump-diffusion models produce some evidence for jumps, but sensitivity analyses suggest sizeable confidence intervals around the parameters.

Download or read book Analytical Approximations of the Term Structure for Jump diffusion Processes written by Jamil Baz and published by . This book was released on 1995 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper obtains a solution to a jump-extended Vasicek (1977) model of interest rates by using an appropriation linearization of the fundamental partial differential-difference equation (PDDE) for the price of a zero-coupon bond. This solution is benchmarked against the numerical solution to the exact PDDE and is found to be extremely accurate over a range of plausible parameter values. While an exact solution to the extended Vasicek model is not possible for Gaussian jumps nor for constant jump sizes, the accuracy of the solution bodes well for the future ability to build jump-diffusion models for bond pricing when jumps may be allowed to follow a wide variety of distributions.

Download or read book Jump diffusion Processes and the Bond Markets written by Sanjiv R. Das and published by . This book was released on 1994 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops models of the term structure when the short rate follows a jump-diffusion process. An empirical implementation demonstrates that jump-diffusions better explain interest rate behavior than pure diffusion models. The fit is shown to be improved by an augmented jump-diffusion time varying volatility model proposed here. The effect of skewness and kurtosis on the jump activity are explored with an analysis of changes in Federal Reserve target rates and their relationship to the term structure.

Download or read book Pricing Interest Rate Derivatives with Arbitrary Skewness and Kurtosis written by Sanjiv R. Das and published by . This book was released on 1995 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Term structure models employing jump-diffusion processes may be used to accommodate the observed skewness and kurtosis of interest rates. This paper extends the discrete-time, pure-diffusion version of the Heath-Jarrow-Morton model to the pricing of American bond options when the underlying term structure of interest rates follows a jump-diffusion process. The jump-diffusion process is specified using a hexanomial tree (six nodes emanating from each node), and the tree is shown to be recombining. This feature of the tree ensures path-independence. The scheme is parsimonious, accurate and convergent. A fairly general class of time-dependent volatilities preserving path independence and providing mean revision is shown to be attainable even under this enhanced jump-diffusion framework.

Download or read book Pricing Interest Rate Derivatives with Arbitrary Skewness and Kurtosis written by Sanjiv R. Das and published by . This book was released on 1995 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Term structure models employing jump-diffusion processes may be used to accommodate the observed skewness and kurtosis of interest rates. This paper extends the discrete-time, pure-diffusion version of the Heath-Jarrow-Morton model to the pricing of American bond options when the underlying term structure of interest rates follows a jump-diffusion process. The jump-diffusion process is specified using a hexanomial tree (six nodes emanating from each node), and the tree is shown to be recombining. This feature of the tree ensures path-independence. The scheme is parsimonious, accurate and convergent. A fairly general class of time-dependent volatilities preserving path independence and providing mean revision is shown to be attainable even under this enhanced jump-diffusion framework.

Download or read book Modelling Interest Rate Dynamics in a Corridor with Jump Processes written by Peter Honoré and published by . This book was released on 1997 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Computational Science ICCS 2006 written by and published by Springer Science & Business Media. This book was released on 2006 with total page 1173 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure and Interest Rate Contingent Claims with Jump Diffusion and Stochastic Volatility written by Venkat Gangadharan and published by . This book was released on 1996 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Computational Science and Its Applications ICCSA 2008 written by Osvaldo Gervasi and published by Springer Science & Business Media. This book was released on 2008-06-24 with total page 1297 pages. Available in PDF, EPUB and Kindle. Book excerpt: The two-volume set LNCS 5072 and 5073 constitutes the refereed proceedings of the International Conference on Computational Science and Its Applications, ICCSA 2008, held in Perugia, Italy in June/July 2008. The two volumes contain papers presenting a wealth of original research results in the field of computational science, from foundational issues in computer science and mathematics to advanced applications in virtually all sciences making use of computational techniques. The topics of the refereed papers are structured according to the five major conference themes: computational methods, algorithms and applications, high performance technical computing and networks, advanced and emerging applications, geometric modelling, graphics and visualization, information systems and information technologies.

Download or read book Linear Quadratic Term Structure Models Toward the Understanding of Jumps in Interest Rates written by George J. Jiang and published by . This book was released on 2012 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we propose a unifying class of affine-quadratic term structure models (AQTSMs) in the general jump-diffusion framework. Extending existing term structure models, the AQTSMs incorporate random jumps of stochastic intensity in the short rate process. Using information from the Treasury futures market, we propose a GMM approach for the estimation of the risk-neutral process. A distinguishing feature of the approach is that the time series estimates of stochastic volatility and jump intensity are obtained, together with model parameter estimates. Our empirical results suggest that stochastic jump intensity significantly improves the model fit to the term structure dynamics. We identify a stochastic jump intensity process that is negatively correlated with interest rate changes. Overall, negative jumps tend to have a larger size than positive ones. Our empirical results also suggest that, at monthly frequency, while stochastic volatility has certain predictive power of inflation, jumps are neither triggered by nor predictive of changes in macroeconomic variables. At daily frequency, however, we document interesting patterns for jumps associated with informational shocks in the financial market.