Asset and liability management ALM was developed in the mids with the aim of fostering bank performance in the face of high and volatile interest rates. Its objective being to coordinate the … Expand. Stochastic modeling of financing longevity risk in pension insurance. This work studies and develops tools to quantify and manage the risks and uncertainty relating to the pricing of annuities in the long run.
To this end, an idealized Monte-Carlo simulation model is … Expand. For the past 20 years, researchers have applied the Kalman filter to the modeling and forecasting the term structure of interest rates. Despite its impressive performance in in-sample fitting yield … Expand. View 1 excerpt, cites background. Longevity risk is a non-diversifiable risk and regarded as a pressing socio-economic challenge of the century. Its accurate assessment and quantification is therefore critical to enable pensionfund … Expand.
Numerical and analytical methods for bond pricing in short rate convergence models of interest rates. In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest rate also called … Expand. Stock loan valuation under a stochastic interest rate model. Computer Science, Mathematics.
Forecasting the yield curve of government bonds: a dynamic factor approach. Purpose - Forecasting the future movement of yield curves contains valuable information for both academic and practical issues such as bonding pricing, portfolio management, and government policies.
Calibration of Chaotic Models for Interest Rates. In this paper we calibrate chaotic models for interest rates to market data using a polynomial-exponential parametrization for the chaos coefficients. We identify a subclass of one-variable models … Expand. Related Papers. Abstract 14 Citations Related Papers.
This paper investigates the term structure of interest rates in a multiperiod production and exchange economy with incomplete information. Unable to observe their stochastic investment opportunities, … Expand. This paper develops a model in which the term-structure of interest rates obtains as an equilibrium outcome of the interactions of firms, households and rationally informed speculators.
Exogenous … Expand. We build and estimate an equilibrium model of the term structure of interest rates based on a recursive utility specification.
We contrast it with an arbitrage-free model, where prices of risk are … Expand. View 2 excerpts, cites background. General equilibrium properties of the term structure of interest rates. Abstract The paper examines the allocation of consumption and investment in a three-date binomial model in order to determine the sign of the real term structure premium in general equilibrium.
When … Expand. On the term structure of interest rates. Abstract This paper tests the one good stochastic growth model with respect to its ability to explain the term structure of real interest rates. We undertake both a qualitative and quantitative … Expand. View 2 excerpts. Intertemporal asset pricing and the term structures of exchange rates and interest rates: The eurocurrency market.
Abstract The primary purpose of this investigation is to test a model of the term structure of forward exchange rates. The approach taken in the paper consists of developing a unified framework … Expand.
We model the term structure of interest rates as resulting from the interaction between investor clienteles with preferences for specific maturities and risk-averse arbitrageurs.
Because arbitrageurs … Expand. A model of the nominal term structure of interest rates is developed that has a positive and stationary process for the interest rate and delivers closed-form expressions for the prices of discount … Expand.
The economics of interest rates. Abstract The paper looks at the behavior of investors in an economy consisting of a production process controlled by a state variable representing the state of technology.
The participants in the … Expand. The term structure of interest rates in real and monetary economies. Abstract This paper modifies standard asset pricing models by introducing capital, a variable labor supply, and money. A surprising, but very positive, result is that in a real production economy the … Expand.
Stock prices, inflation, and the term structure of interest rates. Abstract In this article, the quantitative form of capital market equilibrium is derived for a multi-period economy in which a there are many consumption goods whose future prices are uncertain, … Expand. View 1 excerpt, references background. An arbitrage model of the term structure of interest rates. Abstract A formula for the price of default-free discount bonds of all maturities is found using a Black- Scholes type of arbitrage model which is based on the assumption that a portfolio of three … Expand.
View 1 excerpt, references methods. A continuous time approach to the pricing of bonds. Abstract This paper develops an arbitrage model of the term structure of interest rates based on the assumptions that the whole term structure at any point in time may be expressed as a function of … Expand.
View 3 excerpts, references methods and background. The Term Structure of Interest Rates. The elements of term structure theory,
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