Numerous two-factor interest rate models have been proposed that have attempted to overcome the limitations of one-factor interest rate models. These two-factor interest rate models lead to complex valuation equations for interest rate contingent claims. These valuation equations can be...

In this paper we apply the Fama French (FF) three-factor (3F) and five-factor (5F) models to the CDS market. By converting daily CDS spreads into daily returns we are able to perform tests on the FF 3F and 5F models. Our results provide evidence that both 3F and 5F models can be extended to the...

In this note we extend the Gaussian estimation of two factor CKLS and CIR models recently considered in Nowman, K. B. (2001, Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom, Asia Pacif. Financ. Markets 8, 23–34) to...

Estimates are made of multi-factor versions of the Cox-Ingersoll-Ross model of the term structure of interest rates using the Kalman filter. Estimates are obtained using weekly UK Gilt-edged market data over the period 1982-1997. Empirical results support the need for a multi-factor model and...

This paper is concerned with deriving formulae for higher order derivatives of exogenous variables for use in estimating the parameters of an open secondorder continuous time model with mixed stock and flow data and first and second order derivatives of exogenous variables which are not...