Similar Search Results

Chapter 13. Bond Pricing and the Macroeconomy

Duffee, Gregory R. - 2013

This chapter reviews some of the academic literature that links nominal and real term structures with the macroeconomy. The main conclusion is that none of our models is consistent with basic properties of nominal yields. It is difficult to explain the average shape of the nominal yield curve,...

Persistent link: https://www.econbiz.de/10014025365

Die Zinsstrukturtheorie : Eine Analyse der Faktoren, Arbitrage und Volatilität für das Euro-Währungsgebiet

Stoklossa, Harald - 2010

DIE METHODISCHE GRUNDLEGUNG -- AUSGANGSBASIS: DIE BESTEHENDE ZINSSTRUKTURKURVE -- DIE ÄLTEREN THEORIEN ZUR ZINSSTRUKTUR … -- DIE GRUNDMODELLE DER ZINSSTRUKTUR -- DIE DETERMINISTISCHEN FAKTOREN ZUR ZINSSTRUKTUR -- DIE SUBSTITUTIVEN … ARBITRAGEPROZESSE ZUR ZINSSTRUKTUR -- DIE STOCHASTISCHEN VOLATILITÄTEN DER ZINSSTRUKTUR -- ERKLÄRUNGS- & PROGNOSEMODELL ZUR ZINSSTRUKTUR. …

Persistent link: https://www.econbiz.de/10014425190

Challenges in Macro-Finance Modeling

Kim, Don H. - 2021

This article discusses various challenges in the specification and implementation of \\"macro-finance\\" models in which macroeconomic variables and term structure variables are modeled together in a no-arbitrage framework. The author classifies macro-finance models into pure latent-factor...

Persistent link: https://www.econbiz.de/10014088109

Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and Beyond

Rebonato, Riccardo - 2003

In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and … academic and professional experience, straddling both sides of the divide to bring together and build on what theory and …

Persistent link: https://www.econbiz.de/10014488388

A Term Structure Model with Level Factor Cannot Be Realistic and Arbitrage Free

Dubecq, Simon - 2012

A large part of the term structure literature interprets the first underlying factors as a level factor, a slope factor, and a curvature factor. In this paper we consider factor models interpretable as a level factor model, a level and a slope factor model, respectively. We prove that such...

Persistent link: https://www.econbiz.de/10013111731

Modern pricing of interest-rate derivatives : the LIBOR market model and beyond

Rebonato, Riccardo - 2002

Persistent link: https://www.econbiz.de/10001693803

Convergence of arbitrage-free discrete time Markovian market models

Leitner, Johannes - 2000

Persistent link: https://www.econbiz.de/10001450616

Die Zinsstrukturtheorie : eine Analyse der Faktoren, Arbitrage und Volatilität für das Euro-Währungsgebiet

Stoklossa, Harald - 2010 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003952238

A Libor market model with default risk

Schönbucher, Philipp J. - 2001

Persistent link: https://www.econbiz.de/10001598736

A Libor market model with default risk

Schönbucher, Philipp J. - 2000 - This version December 2000

In this paper a new credit risk model for credit derivatives is presented. The model is based upon the Libor market modelling framework for default-free interest rates. We model effective default-free forward rates and effective forward credit spreads as lognormal diffusion processes, and...

Persistent link: https://www.econbiz.de/10011539796