In this paper I discuss the modeling of the yield in discrete time. The popular Nelson-Siegel model and the Vasicek-factors model are presented in the same framework then it is simple to compare them.

The model proposed by Nelson and Siegel (1987) has been used for several researcher to fit the yield curve. In this paper we propose a discrete-time version of that model by using dynamic factors, such that the model is dynamic in the sense proposed by Diebold and Li (2006). We found the exact...

Tax Freedom Day memorises the day in a calendar year that individual households no longer transfer their income to their government, but start earning an income for the household. In the same manner one could also define a “Debt Freedom Day” as the day that individual households no longer...

An Income Gap Theory and it effects on Unemployment and Economic Growth By Drs Kees De Koning Abstract An income gap is often described as the difference in incomes between the rich and poor. This is a relative gap. In economies a different income gap can occur which can be defined as the...

The U.K.’s recent economic developments can be broken down in two distinct periods. The period 2002-2008 was the period in which economic growth was satisfactory and individual households’ wages and salaries were increasing at a level higher than inflation rates. It was also the period that...

The real financial crisis in the U.S. and in other countries did not take place in the banking or the wider financial sector -yes banks and others financial institutions were affected by their own induced excessive lending schemes- but no, it seriously affected the individual households. More...

In 1946 the economist Arthur Burns defined a business cycle as a period of expansion occurring about the same time in many economic activities, followed by similar general recessions, contractions and revivals, which merge into the expansion phase of the next cycle. Cycles may take from one year...

In the classical quantitative finance literature it is assumed that there is a risk free rate at which hedgers can borrow and lend in the dynamic replication process of financial derivatives. In such a framework, under complete market conditions and absence of arbitrage opportunities, for a...

Executive Summary included in the Paper

In this paper we explore the components that should be incorporated in the price of an uncolateralized derivative. We assume that one counterparty will act as the derivatives hedger while the other will act as the investor. Therefore, the derivative's price will reflect the replication costs...