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Term-structure estimation in markets with infrequent trading
(WILEY-BLACKWELL, 2007)
There are two issues that are of central importance in term-structure analysis. One is the modelling and estimation of the current term structure of spot rates. The second is the modelling and estimation of the dynamics ...
An interpretation of an Affine term structure model for Chile
(Universidad de Chile. Facultad de Economía y Negocios, 2006-12)
This paper attempts to provide an economic interpretation of the factors that
drive the movements of interest rates of bonds of different maturities in a
continuous-time no-arbitrage term structure model for Chile. The ...
The role of no-arbitrage on forecasting: lessons from a parametric term structure model
(Escola de Pós-Graduação em Economia da FGV, 2007-10-01)
Parametric term structure models have been successfully applied to innumerous problems in fixed income markets, including pricing, hedging, managing risk, as well as studying monetary policy implications. On their turn, ...
Term structure movements implicit in Asian option prices
(2008)
In this paper we implement dynamic term structure models that adopt bonds and Asian options in the estimation process. The goal is to analyse the pricing and hedging implications of term structure movements when options ...
The role of short-term immigration on disease dynamics: an sir model with age-structure
(Centro de Investigaciones en Matemática Pura y Aplicada (CIMPA) y Escuela de Matemática, San José, Costa Rica., 2019)
Approximating risk premium on a parametric arbitrage-free term structure model
(Sociedade Brasileira de Econometria, 2014-11-14)
In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids the cost of a ...
Approximating risk premium on a parametric arbitrage-free term structure model
(FGV EPGE, 2014)
In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids full optimization ...
Pricing the option adjust spread of Brazilian Eurobonds
(Escola de Pós-Graduação em Economia da FGV, 1997-03-20)
This paper presents results of a pricing system to compute the option adjusted spread ('DAS') of Eurobonds issued by Brazilian firms. The system computes the 'DAS' over US treasury rates taktng imo account the embedded ...
Term-structure estimation in markets with infrequent trading
(WILEY-BLACKWELL, 2007)
There are two issues that are of central importance in term-structure analysis. One is the modelling and estimation of the current term structure of spot rates. The second is the modelling and estimation of the dynamics ...