نتایج جستجو برای: facility interest rate

تعداد نتایج: 1309619  

Journal: :The Quarterly Journal of Economics 1920

Journal: :International Journal of Trade, Economics and Finance 2015

Journal: :SSRN Electronic Journal 2006

Journal: :SSRN Electronic Journal 1990

Journal: :Journal of Monetary Economics 2014

2010
Lech A. Grzelak Cornelis W. Oosterlee

We define an equity-interest rate hybrid model in which the equity part is driven by the Heston stochastic volatility [Hes93], and the interest rate (IR) is generated by the displaced-diffusion stochastic volatility Libor Market Model [AA02]. We assume a non-zero correlation between the main processes. By an appropriate change of measure the dimension of the corresponding pricing PDE can be gre...

Journal: :Management Science 2007
Turan G. Bali

T paper proposes an extreme value approach to estimating interest-rate volatility, and shows that during the extreme movements of the U.S. Treasury market the volatility of interest-rate changes is underestimated by the standard approach that uses the thin-tailed normal distribution. The empirical results indicate that (1) the volatility of maximal and minimal changes in interest rates declines...

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