Modeling the term structure of interest rates: a new approach

Article Abstract:

Random field models, which allow consistency with the current shape of the term structure without recalibrating, can be used to study the term structure of interest rates with conditional volatility. The model also implies that a set of zero coupon bonds does not complete the market and arbitrage cannot price the term structure derivatives.

Financial markets

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Likelihood-based specification analysis of continuous-time models of the short-term interest rate

Article Abstract:

Over the data sets that have appeared previously in the literature, an extensive collection of continuous-time models of the short-term interest rate is studied. To estimate stochastic volatility models, the methodology of Durham and Gallant can be used.

Financial Services, Finance and Insurance, DEPOSITORY INSTITUTIONS, Models, Financial services industry

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The economics of interest rates

Article Abstract:

The impact of the behavior of heterogeneous investors to determine interest rates in bond market is examined.

Behavior, Investors, Credit market, Credit markets

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