We study the consumption based asset pricing model in a discrete-time pure exchange setting with incomplete information. Incomplete information leads to a filtering problem which agents solve using the Kalman filter. We characterize the solution to the asset pricing problem in such a setting....

When nominal interest rates are near their zero lower bound (ZLB), as in many developed economies at the time of writing, it is theoretically untenable to apply the popular class of Gaussian affine term structure models (GATSMs) given their inherent material probabilities of negative interest...

Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions...

Una de las consecuencias de las políticas monetarias expansivas aplicadas en los países desarrollados es el crecimiento de los mercados financieros en países emergentes como el Perú. No solo se observa una evolución de los mercados domésticos, sino que su integración a los mercados...

During the last decades many financial analysts, either theorists or practitioners, have dedicated their studies to the interactions between different financial sectors. The results of these researches confirm that commodities, bonds and stock markets are closely related, therefore a thorough...

Este documento tiene como propósito evaluar la aplicabilidad del modelo de tasa de interés de Vasicek (1977) para la valorar opciones call y put sobre un título de renta fija colombiano. Para el desarrollo de esta aplicación, se efectúan estimaciones econométricas con procesos...

With nominal interest rates currently at or near their zero lower bound (ZLB) in many major economies, it has become untenable to apply Gaussian affine term structure models (GATSMs) while ignoring their inherent non-zero probabilities of negative interest rates. In this article I modify GATSMs...

With interest rates near the zero lower bound, I propose a simple framework to indicate the monetary policy stance as a “shadow short rate”. I apply a one-factor model to Japan, provide associated economic intuition, and discuss multiple-factor extensions.

We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps...

In this paper, a class of forward rate dependent Markovian transformations of the Heath-Jarrow-Morton [16] term structure model are obtained by considering volatility processes that are solutions of linear ordinary differential equations. These transformations generalise the Markovian systems...