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Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break
(2012-09-17)
This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are ...
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 ...
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 ...
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 ...
Term structure dynamics and no-arbitrage under the Taylor Rule
(2009-08-18)
The term structure interest rate determination is one of the main subjects of the financial assets management. Considering the great importance of the financial assets for the economic policies conduction it is basic to ...
Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change
(2009-01-26)
This paper investigates whether or not multivariate cointegrated process with structural change can describe the Brazilian term structure of interest rate data from 1995 to 2006. In this work the break point and the number ...
Forecasting the Brazilian term structure using macroeconomic factors
(Sociedade Brasileira de Econometria, 2014-03-26)
This paper studies the forecasting of the Brazilian interest rate term structure using common factors from a wide database of 171 macroeconomic series, from the period of January 2000 to May 2012. Firstly the model proposed ...
PRICING VIA ANTICIPATIVE STOCHASTIC CALCULUS
(APPLIED PROBABILITY TRUST, 1994)
The paper proposes a general model for pricing of derivative securities. The underlying dynamics follows stochastic equations involving anticipative stochastic integrals. These equations are solved explicitly and structural ...
Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing
(Escola de Pós-Graduação em Economia da FGV, 2005-02-03)
Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate ...