In this dissertation the main focus area was to use one factor interest rate models in India to obtain the descriptive nature and risk profile of money markets in India. For the period of 2012-2020 we found that CIR (1985) model fits and describes the interest rate path for India much better...

This paper introduces a generalized discrete time framework to evaluate the empirical performance of a wide variety of well-known models in capturing the dynamic behavior of short term interest rates. A new class of models which displays nonlinearity and asymmetry in the drift, and incorporates...

A regime-switching Levy framework, where all parameter values depend on the value of a continuous time Markov chain as per Chevallier and Goutte (2017), is employed to study US Corporate Option-Adjusted Spreads (OASs). For modelling purposes we assume a Normal Inverse Gaussian distribution,...

This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. This new estimator is an asymptotic least squares estimator defined by the no-arbitrage conditions upon which these models are built. We discuss...

Does modelling stochastic interest rates, beyond stochastic volatility, improve pricing performanceon long-dated commodity derivatives? To answer this question, we consider futuresprice models for commodity derivatives that allow for stochastic volatility and stochastic interestrates and a...

This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data. We discuss how stochastic volatility of...

We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term struc- ture and are associated with the time-varying...

Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework for the term structure of interest rates in which a frequency basis (i.e. a spread applied to one leg of a swap to...

The model derives risky corporate bond prices (or equivalently credit spreads) subject to credit default and migration risk, based on an extended version of the Jarrow, Lando and Turnbull model, under a risk-neutral framework, as a result of the simulation of a continuous time, time-homogeneous...