Matches in SemOpenAlex for { <https://semopenalex.org/work/W1569477958> ?p ?o ?g. }
Showing items 1 to 96 of
96
with 100 items per page.
- W1569477958 abstract "We argue interest rate derivative pricing models are misspecified sothat when they are fitted to historical data they do not produce pricesconsistently with the market. Interest rate models have to be calibrated toprices to ensure consistency. There are few published works on calibrationto derivatives prices and we make this the focus of our thesis.We show how short rate models can be calibrated to derivativesprices accurately with a second time dependent parameter. We analyse themisspecification of the fitted models and their implications for other models.We examine the Duffle and Kan Affine Yield Model, a class of shortrate models, that appears to allow easier calibration. We show that, in fact,a direct calibration of Duffle and Kan Affine Yield Models is exceedinglydifficult. We show the non-negative subclass is equivalent to generalisedCox, Ingersoll and Ross models that facilitate an indirect calibration of nonnegativeDuffle and Kan Affine Yield Models.We examine calibration of Heath, Jarrow and Morton models. Weshow, using some experiments, Heath, Jarrow and Morton models cannotbe calibrated quickly to be of practical use unless we restrict to specialsubclasses. We introduce the Martingale Variance Technique forimproving the accuracy of Monte Carlo simulations.We examine calibration of Gaussian Heath Jarrow and Mortonmodels. We provide a new non-parametric calibration using the GaussianRandom Field Model of Kennedy as an intermediate step. We derive newapproximate swaption pricing formulae for the calibration.We examine how to price resettable caps and floors with the market-Libor model. We derive a new relationship between resettable caplets andfloorlets prices. We provide accurate approximations for the prices. Weprovide practical approximations to price resettable caplets and floorletsdirectly from quotes on standard caps and floors. We examine how tocalibrate the market-Libor model." @default.
- W1569477958 created "2016-06-24" @default.
- W1569477958 creator A5032513451 @default.
- W1569477958 date "1997-06-01" @default.
- W1569477958 modified "2023-09-23" @default.
- W1569477958 title "Calibration of interest rate term structure and derivative pricing models" @default.
- W1569477958 cites W1983886831 @default.
- W1569477958 cites W1985018066 @default.
- W1569477958 cites W1988697445 @default.
- W1569477958 cites W2001715732 @default.
- W1569477958 cites W2027849119 @default.
- W1569477958 cites W2071291273 @default.
- W1569477958 cites W2138197227 @default.
- W1569477958 cites W2170131042 @default.
- W1569477958 cites W2170444200 @default.
- W1569477958 cites W2172282602 @default.
- W1569477958 cites W2338681524 @default.
- W1569477958 hasPublicationYear "1997" @default.
- W1569477958 type Work @default.
- W1569477958 sameAs 1569477958 @default.
- W1569477958 citedByCount "0" @default.
- W1569477958 crossrefType "dissertation" @default.
- W1569477958 hasAuthorship W1569477958A5032513451 @default.
- W1569477958 hasConcept C10138342 @default.
- W1569477958 hasConcept C105795698 @default.
- W1569477958 hasConcept C106159729 @default.
- W1569477958 hasConcept C111771559 @default.
- W1569477958 hasConcept C117251300 @default.
- W1569477958 hasConcept C121332964 @default.
- W1569477958 hasConcept C128029710 @default.
- W1569477958 hasConcept C128263813 @default.
- W1569477958 hasConcept C149782125 @default.
- W1569477958 hasConcept C162324750 @default.
- W1569477958 hasConcept C163716315 @default.
- W1569477958 hasConcept C165838908 @default.
- W1569477958 hasConcept C175025494 @default.
- W1569477958 hasConcept C176230804 @default.
- W1569477958 hasConcept C194483076 @default.
- W1569477958 hasConcept C19736811 @default.
- W1569477958 hasConcept C202444582 @default.
- W1569477958 hasConcept C33923547 @default.
- W1569477958 hasConcept C41008148 @default.
- W1569477958 hasConcept C62520636 @default.
- W1569477958 hasConcept C91602232 @default.
- W1569477958 hasConcept C92757383 @default.
- W1569477958 hasConcept C93246554 @default.
- W1569477958 hasConceptScore W1569477958C10138342 @default.
- W1569477958 hasConceptScore W1569477958C105795698 @default.
- W1569477958 hasConceptScore W1569477958C106159729 @default.
- W1569477958 hasConceptScore W1569477958C111771559 @default.
- W1569477958 hasConceptScore W1569477958C117251300 @default.
- W1569477958 hasConceptScore W1569477958C121332964 @default.
- W1569477958 hasConceptScore W1569477958C128029710 @default.
- W1569477958 hasConceptScore W1569477958C128263813 @default.
- W1569477958 hasConceptScore W1569477958C149782125 @default.
- W1569477958 hasConceptScore W1569477958C162324750 @default.
- W1569477958 hasConceptScore W1569477958C163716315 @default.
- W1569477958 hasConceptScore W1569477958C165838908 @default.
- W1569477958 hasConceptScore W1569477958C175025494 @default.
- W1569477958 hasConceptScore W1569477958C176230804 @default.
- W1569477958 hasConceptScore W1569477958C194483076 @default.
- W1569477958 hasConceptScore W1569477958C19736811 @default.
- W1569477958 hasConceptScore W1569477958C202444582 @default.
- W1569477958 hasConceptScore W1569477958C33923547 @default.
- W1569477958 hasConceptScore W1569477958C41008148 @default.
- W1569477958 hasConceptScore W1569477958C62520636 @default.
- W1569477958 hasConceptScore W1569477958C91602232 @default.
- W1569477958 hasConceptScore W1569477958C92757383 @default.
- W1569477958 hasConceptScore W1569477958C93246554 @default.
- W1569477958 hasLocation W15694779581 @default.
- W1569477958 hasOpenAccess W1569477958 @default.
- W1569477958 hasPrimaryLocation W15694779581 @default.
- W1569477958 hasRelatedWork W1526057126 @default.
- W1569477958 hasRelatedWork W1548978760 @default.
- W1569477958 hasRelatedWork W1592252063 @default.
- W1569477958 hasRelatedWork W1956998470 @default.
- W1569477958 hasRelatedWork W2007411408 @default.
- W1569477958 hasRelatedWork W2048775905 @default.
- W1569477958 hasRelatedWork W2088512714 @default.
- W1569477958 hasRelatedWork W2593790350 @default.
- W1569477958 hasRelatedWork W2904974208 @default.
- W1569477958 hasRelatedWork W2950006495 @default.
- W1569477958 hasRelatedWork W2995298259 @default.
- W1569477958 hasRelatedWork W3033089956 @default.
- W1569477958 hasRelatedWork W3042475069 @default.
- W1569477958 hasRelatedWork W3121595968 @default.
- W1569477958 hasRelatedWork W3121774119 @default.
- W1569477958 hasRelatedWork W3122786905 @default.
- W1569477958 hasRelatedWork W3123854707 @default.
- W1569477958 hasRelatedWork W3124870193 @default.
- W1569477958 hasRelatedWork W3126100209 @default.
- W1569477958 hasRelatedWork W590383608 @default.
- W1569477958 isParatext "false" @default.
- W1569477958 isRetracted "false" @default.
- W1569477958 magId "1569477958" @default.
- W1569477958 workType "dissertation" @default.