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The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models

โœ Scribed by Michael Johannes

Book ID
109179560
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
481 KB
Volume
59
Category
Article
ISSN
0022-1082

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๐Ÿ“œ SIMILAR VOLUMES

An empirical comparison of continuous ti
An empirical comparison of continuous time models of the short term interest rate
โœ Bali, Turan G. ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 225 KB ๐Ÿ‘ 2 views

This article tests the performance of a wide variety of well-known continuous time models-with particular emphasis on the Black, Derman, and Toy (1990; henceforth BDT) term structure model-in capturing the stochastic behavior of the short term interest rate volatility. Many popular interest rate mod

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Economic considerations in the use of interest rate futures
โœ Charles T. Franckle; Andrew J. Senchack Jr. ๐Ÿ“‚ Article ๐Ÿ“… 1982 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 627 KB

n order to effectively use the interest rate futures markets for hedging, two distinct types of hedges need to be recognized: One involves an existing position in the cash market; the other is where a cash position has not been taken but is expected to be taken in the future. The former situation ma