Essays about: "Affine term structure models"

Found 3 essays containing the words Affine term structure models.

  1. 1. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

    University essay from Lunds universitet/Matematisk statistik

    Author : Jan Müller; [2022]
    Keywords : Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

    Abstract : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. READ MORE

  3. 2. Multifactor Affine Term Structure with Macroeconomic Factors

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kaixin Xiangyu; Hao Wang; [2016]
    Keywords : Affine Term Structure; Bond Yields; Term Structure Models; Macroeconomics; Business and Economics;

    Abstract : We present a multifactor model of the affine term structure of interest rates with dynamics of macroeconomic factors following the diffusion process in the Vasicek model. Using observable series, we investigate the goodness of fit of the model and the impact of the variables on bond yields. READ MORE

  4. 3. Estimating and Testing Risk Approaches: A Technical Analysis using Affine Term Structure Models, Monte Carlo Simulation and GARCH Method

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Daniel Svensson; [2011]
    Keywords : Economics; Econometrics; Value-at-Risk; Monte Carlo Simulation; GARCH Method; Business and Economics;

    Abstract : This paper investigates if the Log-Normal Mean-Reverting Ornstein-Uhlenbeck spot price (LNMROU) and the Vasicek (1977) process can forecast Value-at-Risk (VaR) using the Monte Carlo method. The results from LNMROU are validated against Delta-Normal-GARCH (DNG) and Historical Simulation (HS) which are well known approaches for VaR estimations. READ MORE