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Zero Lower Bound Term Structure Modeling

2015-01-05 Business & Economics
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Release : 2015-01-05
Genre : Business & Economics
Kind : eBook
Book Rating : 826/5 ( reviews)

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Book Synopsis Zero Lower Bound Term Structure Modeling by : L. Krippner

Download or read book Zero Lower Bound Term Structure Modeling written by L. Krippner. This book was released on 2015-01-05. Available in PDF, EPUB and Kindle. Book excerpt: Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.

Term Structure Modeling at the Zero Lower Bound

2017
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Release : 2017
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Book Synopsis Term Structure Modeling at the Zero Lower Bound by : Yutian Nie

Download or read book Term Structure Modeling at the Zero Lower Bound written by Yutian Nie. This book was released on 2017. Available in PDF, EPUB and Kindle. Book excerpt:

Term Structure Modeling Near the Zero Lower Bound

2018
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Release : 2018
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Book Synopsis Term Structure Modeling Near the Zero Lower Bound by : Oliver Krek

Download or read book Term Structure Modeling Near the Zero Lower Bound written by Oliver Krek. This book was released on 2018. Available in PDF, EPUB and Kindle. Book excerpt: This thesis proposes a regime-switching extension to the well known autoregressive gamma and gamma-zero process nesting its linear counterpart. The affine term structure model based on the new process matches key stylized facts of interest rates during a zero lower bound period as well as in normal times. The regime structure uses interest rate option implied densities and builds on smooth transition regression trees, relating to potential Big Data as well as high frequency applications. Results for the US and EU show an improvement in the fit for the yield level, especially at the short end of the term structure.

Term-Structure Modelling at the Zero Lower Bound

2018
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Release : 2018
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Book Synopsis Term-Structure Modelling at the Zero Lower Bound by : Tsz-Kin Chung

Download or read book Term-Structure Modelling at the Zero Lower Bound written by Tsz-Kin Chung. This book was released on 2018. Available in PDF, EPUB and Kindle. Book excerpt: Although the affine Gaussian term-structure model has been a workhorse model in termstructuremodelling, it remains doubtful whether it is an appropriate model in a low interest rate environment. This paper uses an alternative quadratic Gaussian-term structure model which is well known to be as tractable as the affine model and yet is suitable for interest rates close to zero. Compared with the quadratic model under the zero lower bound, we illustrate how the forward term premium can be biased upward under the affine model both theoretically and empirically.

Dynamic Term Structure Modeling

2007-05-23 Business & Economics
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Release : 2007-05-23
Genre : Business & Economics
Kind : eBook
Book Rating : 062/5 ( reviews)

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Book Synopsis Dynamic Term Structure Modeling by : Sanjay K. Nawalkha

Download or read book Dynamic Term Structure Modeling written by Sanjay K. Nawalkha. This book was released on 2007-05-23. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models." --Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling

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