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- W2139544802 abstract "In part III we explore a new approach in modeling the term structure of interest rates and the pricing of fixed-income securities. The pricing model we present is a type within the affine class and is estimated using interest rate panel data. This first chapter clears the basic definitional terminology when dealing with bond prices and interest rates. We further clear our view on the enormous spectrum of evolved asset pricing models for fixed-income securities by performing a survey. In chapter 9 we motivate our model choice, present our dynamic term structure model, and derive a closed-form solution for the price of discount bonds as the security of primary interest. In the next chapter we perform a comparative statistic in order to evaluate the characteristic theoretical properties of our interest rate model. Here, we especially examine the distinct behavior of the term structure of interest rates as well as the term structure of volatilities which are relevant in valuing derivatives. The following chapter 11 is dedicated to the management of interest rate risk. Starting with a clarification of the types of risk involved, we further implement the very useful technique of a duration measure for our model, and finally show how to price term structure derivatives. Among the most relevant fixed-income instruments in risk management we specialize in valuing bond options, swap contracts, and interest rate floor and cap agreements. Chapter 12 considers the calibration of the proposed term structure model to standard fixed-income instruments. First, we describe the different econometric methods used in the literature to then specialize our implemented version that resembles the theoretical model properties at best. For the different interest rate markets we choose data from US government issues, LIBOR rates and swap rates. Upon these data we report our inferences on the model parameters and analyze the filtered state variables. Finally, we conclude in the last chapter with a summary of our findings." @default.
- W2139544802 created "2016-06-24" @default.
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- W2139544802 date "2004-01-01" @default.
- W2139544802 modified "2023-09-27" @default.
- W2139544802 title "Introduction and Survey" @default.
- W2139544802 cites W2029489380 @default.
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- W2139544802 doi "https://doi.org/10.1007/978-3-540-24697-8_3" @default.
- W2139544802 hasPublicationYear "2004" @default.
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