首页    期刊浏览 2024年12月04日 星期三
登录注册

文章基本信息

  • 标题:Modelling the long-term dynamics of yield curves
  • 作者:Medova E A ; Rietbergen M I ; Villaverde M
  • 期刊名称:Finance Publications / Centre for Financial Research, Cambridge University
  • 出版年度:2006
  • 卷号:2006
  • 出版社:Cambridge University
  • 摘要:This paper presents a three-factor model of the term structure of interest rates, which is Markov and time-homogeneous. We provide a thorough analysis of the estimation procedure using the Kalman filter on EU swap yield data from 1997 to 2002. The model allows for a closed-form bond price formula and can capture the salient features of the whole term structure in forward simulations. These features make it particularly useful for applications in long-term asset pricing, risk management and portfolio optimization.
  • 关键词:Multifactor Term Structure Model; Kalman Filter; Simulations.
Loading...
联系我们|关于我们|网站声明
国家哲学社会科学文献中心版权所有