Term Structure Modelling At The Zero Lower Bound
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Author |
: L. Krippner |
Publisher |
: Springer |
Total Pages |
: 436 |
Release |
: 2015-01-05 |
ISBN-10 |
: 9781137401823 |
ISBN-13 |
: 1137401826 |
Rating |
: 4/5 (23 Downloads) |
Synopsis Zero Lower Bound Term Structure Modeling by : L. Krippner
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.
Author |
: Tsz-Kin Chung |
Publisher |
: |
Total Pages |
: 7 |
Release |
: 2018 |
ISBN-10 |
: OCLC:1304489890 |
ISBN-13 |
: |
Rating |
: 4/5 (90 Downloads) |
Synopsis Term-Structure Modelling at the Zero Lower Bound by : Tsz-Kin Chung
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.
Author |
: |
Publisher |
: |
Total Pages |
: |
Release |
: 2015 |
ISBN-10 |
: OCLC:922555151 |
ISBN-13 |
: |
Rating |
: 4/5 (51 Downloads) |
Synopsis Dynamic Term Structure Models by :
Author |
: Leo Krippner |
Publisher |
: |
Total Pages |
: |
Release |
: 2013 |
ISBN-10 |
: OCLC:862410426 |
ISBN-13 |
: |
Rating |
: 4/5 (26 Downloads) |
Synopsis A Tractable Framework for Zero Lower Bound Gaussian Term Structure Models by : Leo Krippner
Author |
: Leo Krippner |
Publisher |
: |
Total Pages |
: |
Release |
: 2013 |
ISBN-10 |
: OCLC:931425368 |
ISBN-13 |
: |
Rating |
: 4/5 (68 Downloads) |
Synopsis Faster Solutions for Black Zero Lower Bound Term Structure Models by : Leo Krippner
Author |
: Jesper B. Graversen |
Publisher |
: |
Total Pages |
: 77 |
Release |
: 2015 |
ISBN-10 |
: OCLC:951209379 |
ISBN-13 |
: |
Rating |
: 4/5 (79 Downloads) |
Synopsis Quadratic and Shadow-rate Term Structure Models and the Zero Lower Bound by : Jesper B. Graversen
Author |
: |
Publisher |
: |
Total Pages |
: 91 |
Release |
: 2016 |
ISBN-10 |
: OCLC:1153936117 |
ISBN-13 |
: |
Rating |
: 4/5 (17 Downloads) |
Synopsis Arbitrage Free Term Structure Models and the Zero Lower Bound by :
Author |
: Leo Krippner |
Publisher |
: |
Total Pages |
: 10 |
Release |
: 2014 |
ISBN-10 |
: OCLC:1308940154 |
ISBN-13 |
: |
Rating |
: 4/5 (54 Downloads) |
Synopsis Efficient Jacobian Evaluations for Estimating Zero Lower Bound Term Structure Models by : Leo Krippner
Faster extended Kalman filter estimations of zero lower bound models of the term structure are possible if the analytic properties of the Jacobian matrix for the measurement equation are exploited. I show that such results are straighforward to incorporate, at least in Monte-Carlo-based implementations, and that will facilitate fast and robust estimations of zero lower bound term structure models with the iterated extended Kalman filter.
Author |
: Sanjay K. Nawalkha |
Publisher |
: John Wiley & Sons |
Total Pages |
: 722 |
Release |
: 2007-05-23 |
ISBN-10 |
: 9780470140062 |
ISBN-13 |
: 0470140062 |
Rating |
: 4/5 (62 Downloads) |
Synopsis Dynamic Term Structure Modeling by : Sanjay K. Nawalkha
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
Author |
: Wolfgang Lemke |
Publisher |
: |
Total Pages |
: |
Release |
: 2016 |
ISBN-10 |
: 3957292905 |
ISBN-13 |
: 9783957292902 |
Rating |
: 4/5 (05 Downloads) |
Synopsis Below the Zero Lower Bound by : Wolfgang Lemke