Extrapolating the Term Structure of Interest Rates with Parameter Uncertainty
نویسندگان
چکیده
منابع مشابه
Term Structure of Interest Rates
I nterest rates and their dynamics provide probably the most computationally difficult part of the modern financial theory. The modern fixed income market includes not only bonds but all kinds of derivative securities sensitive to interest rates. Moreover interest rates are important in pricing all other market securities since they are used in time discounting. Interest rates are also importan...
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In this survey, firstly I describe the fundamentals of interest rates and yield curves. After required background information for the term structure is established, I move on the main subject of this survey: Term Structure of Interest Rates. We can define the term structure of interest rates as calculation of the relation between the yields on default-free securities which only differ in their ...
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After financial crisis, the role of uncertainty in decision making processes has largely been recognized as the new variable that contributes to shaping interest rates and bond prices. Our aim is to discuss the impact of ambiguity on bonds interest rates (yields). Starting from the realistic assumption that investors ask for an ambiguity premium depending on the efficacy of government intervent...
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We study the term structure of interest rates in the presence of consumption commitments using an equilibrium model. Under reasonable assumptions we prove the existence and uniqueness of the equilibrium and develop computation methods. Examples are analyzed to illustrate the effect of consumption commitments on the term structure and its manifestations.
متن کاملSimulating Term Structure of Interest Rates with Arbitrary Marginals
Decision models under uncertainty need to be feeded with scenarios of the interest rate curve. Such scenarios have to comply, as close as possible, with the empirical distribution of each rate. Simulation models of the term structure usually assume that the conjugate distribution of the interest rates is lognormal. Dynamic models, like vector auto-regression, implicitly postulate that the logar...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2369208