On Non-Existence of a One Factor Interest Rate Model for Volatility Averaged Generalized Fong-Vasicek Term Structures

On Non-existence of a One Factor Interest Rate Model for Volatility Averaged Generalized Fong–vasicek Term Structures

We study the generalized Fong–Vasicek two-factor interest rate model with stochastic volatility. In this model dispersion is assumed to follow a non-negative process with volatility proportional to the square root of dispersion, while the drift is assumed to be a general function. We consider averaged bond prices with respect to the limiting distribution of stochastic dispersion. The averaged b...

investigating the feasibility of a proposed model for geometric design of deployable arch structures

deployable scissor type structures are composed of the so-called scissor-like elements (sles), which are connected to each other at an intermediate point through a pivotal connection and allow them to be folded into a compact bundle for storage or transport. several sles are connected to each other in order to form units with regular polygonal plan views. the sides and radii of the polygons are...

Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model

The valuation for an American continuous-installment put option on zero-coupon bond is considered by Kim’s equations under a single factor model of the short-term interest rate, which follows the famous Vasicek model. In term of the price of this option, integral representations of both the optimal stopping and exercise boundaries are derived. A numerical method is used to approximate the optim...

An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model

Term Structure of Interest Rate Volatility and Macroeconomic Uncertainty ∗

We propose a new model of the yield curve to capture both the dynamics of their conditional mean and the term structure of interest rate volatilities. The new class of affine term structure models exhibits multiple unpriced stochastic volatility factors without imposing constraints on the conditional mean of yields. The common movement in the volatilities extracted from the model provides a new...