Ein neuer Ansatz zur Bestimmung der Zinsstruktur. Theorie und empirische Ergebnisse für den deutschen Rentenmarkt Die vorliegende Arbeit stellt ein zweistufiges Verfahren zur Bestimmung der Zinsstruktur vor. Bei dieser Methode wird in einem ersten Schritt mit Hilfe der quadratischen Optimierung...

Our main goal is to investigate the question of which interest-rate options valuationmodels are better suited to support the management of interest-rate risk. Weuse the German market to test seven spot-rate and forward-rate models with oneand two factors for interest-rate warrants for the period...

Our main goal is to investigate the question of which interest-rate options valuation models are better suited to support the management of interest-rate risk. We use the German market to test seven spot-rate and forward-rate models with one and two factors for interest-rate warrants for the...

This article presents the first comprehensive comparative study of alternative models for valuing interest rate options. One and two factor inversion models of the Hull/White type and one and two factor Heath/J arrow/Morton models are considered. The valuation models are assessed by different...