Comparing Alternative Models of the Term Structure of Interest Rates PDF Download
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Author: Basma Bekdache
Publisher:
ISBN:
Category :
Languages : en
Pages : 41
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Book Description
Author: Basma Bekdache
Publisher:
ISBN:
Category :
Languages : en
Pages : 41
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Book Description
Author: K. C. Chan
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 18
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Author: Clark Leavitt
Publisher:
ISBN:
Category : Accounting fraud
Languages : en
Pages : 418
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Book Description
Author: Rajna Gibson
Publisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171
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Book Description
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author: Xin Bo
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 0
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Book Description
The paper proposes a procedure for testing the alternative continuous time models of short term riskless interest rates. Parameters estimation and models comparison are presented using the Generalized Method of Moments. An empirical research to LIBOR in US dollar is given and found that the volatility of interest rate changes is to be less sensitive to the interest rate levels in contrast to previous findings. In addition the Brennan-Schwartz model is suggested to be superior to the others in term of data fit under daily observations, and CIR SR model cannot be rejected.
Author: K. C. Chan
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 15
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Author: Olin Liu
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: David Evans Vanderford
Publisher:
ISBN:
Category :
Languages : en
Pages : 362
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Author: Carlo Bianchi
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Yu-jung Liu
Publisher:
ISBN:
Category :
Languages : en
Pages : 332
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Book Description
