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An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model

Das, Sanjiv Ranjan - 1997

pricing" of American-type bond options when the underlying term structure of interest rates follows a Poisson-Gaussian process …

Persistent link: https://www.econbiz.de/10012472764

The Market Price of Credit Risk : An Empirical Analysis of Interest Rate Swap Spreads

Liu, Jun - 2002

implied special financing rate for Treasury bonds and find that the liquidity component of on-the-run bond prices can be …

Persistent link: https://www.econbiz.de/10012469724

Predictable Changes in Yields and Forward Rates

Backus, David - 1998

simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable …

Persistent link: https://www.econbiz.de/10012472439

Expected Future Tax Policy and Tax-Exempt Bond Yields

Poterba, James M. - 1984

This paper tests several competing models of municipal bond market equilibrium. It analyzes the influence of changes in …

Persistent link: https://www.econbiz.de/10012477619

Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models

Gallmeyer, Michael F. - 2007

historical bond data …

Persistent link: https://www.econbiz.de/10012465408

Modeling Bond Yields in Finance and Macroeconomics

Diebold, Francis X. - 2005

From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...

Persistent link: https://www.econbiz.de/10012467596

Bond Risk Premia in Consumption-based Models

Creal, Drew D. - 2016

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected …

Persistent link: https://www.econbiz.de/10012456492

Monetary Policy, Bond Risk Premia, and the Economy

Ireland, Peter N. - 2015

This paper develops an affine model of the term structure of interest rates in which bond yields are driven by …

Persistent link: https://www.econbiz.de/10012457093

Nonparametric Pricing of Interest Rate Derivative Securities

Ait-Sahalia, Yacine - 1995

short term interest rate and compute nonparametric prices for bonds and bond options …

Persistent link: https://www.econbiz.de/10012473524

Interest Rate Expectations Versus Forward Rates : Evidence From An Expectations Survey

Friedman, Benjamin M. - 1978

The object of this paper is to test several familiar hypotheses about the relationship between the forward rates implied by the term structure and interest rate expectations, using the one ongoing systematic survey that samples market participants' expectations. The substitution of survey data...

Persistent link: https://www.econbiz.de/10012478855

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