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A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives

Trolle, Anders B. - 2006

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features correlations between innovations to forward rates and volatilities, quasi-analytical prices of zero-coupon bond options and dynamics of the forward rate curve, under...

Persistent link: https://www.econbiz.de/10012466328

Derivatives Usage in Risk Management by US and German Non-Financial Firms : A Comparative Survey

Bodnar, Gordon M. - 1998

This paper is a comparative study of the responses to the 1995 Wharton School survey of derivative usage among US non … derivative usage is most common, followed closely by interest rate derivatives, with commodity derivatives a distant third. In … choice of instruments, and the influence of their market view when taking derivative positions. These differences appear to …

Persistent link: https://www.econbiz.de/10012472108

Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets

Brandt, Michael W. - 2001

We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new...

Persistent link: https://www.econbiz.de/10012470313

Regime Switches in Interest Rates

Ang, Andrew - 1998

econometric performance of regime-switching models for interest rate data from the US, Germany and the UK. There is strong …

Persistent link: https://www.econbiz.de/10012472295

High Yields : The Spread on German Interest Rates

Favero, Carlo - 1996

bonds between high yielders, namely Italy, Spain, Sweden and Germany. In particular we address the question of the relative …

Persistent link: https://www.econbiz.de/10012473456

A Multi-Country Comparison of Term Structure Forecasts at Long Horizons

Jorion, Philippe - 1991

besides the United states, using a newly constructed data set for 1 to 5 year interest rates from Britain, West Germany and …

Persistent link: https://www.econbiz.de/10012475446

Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

Ahn, Dong-Hyun - 1999

This paper investigates the relation between returns on stock indices and their corresponding futures contracts in order to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio autocorrelations. Using a simple theoretical framework, we...

Persistent link: https://www.econbiz.de/10012471575

An Analysis of the Stabilizing and Welfare Effects of Intervention in Spot and Futures Markets

Campbell, Robert B. - 1985

This paper analyzes the effects of three alternative rules on the long-run distributions of both the spot and futures prices ina single commodity market, in which the key behavioral relationships are derived from the optimizing behavior of producers and speculators.The rules considered include:...

Persistent link: https://www.econbiz.de/10012477382

Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market

Kane, Alex - 1985

The Chicago Board of Trade Treasury Bond Futures Contract allows the short position several delivery options as to when and with which bond the contract will be settled. The timing option allows the short position to choose any business day in the delivery month to make delivery. In addition,...

Persistent link: https://www.econbiz.de/10012477467

Regulatory Structure in Futures Markets : Jurisdictional Competition Among the SEC, the CFTC, and Other Agencies

Kane, Edward J. - 1984

This paper studies competition among alternative regulatory bodies for authority over innovative financial contracts. In the United States, this rivalry embraces not only the Commodity Futures Trading Commission and the Securities and Exchange Commission, but state and federal...

Persistent link: https://www.econbiz.de/10012477763

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