Essays about: "Affine Term Structure"

Found 4 essays containing the words Affine Term Structure.

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. Term Structure Modeling near the Zero Lower Bound: Regime Switching & Monetary Policy

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Oliver Krek; [2018]
   Keywords : Affine Term Structure Model; Regime Switching; Monetary Policy; Zero Lower Bound;

   Abstract : 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. READ MORE

4. 3. 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

5. 4. 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