Affine Principal Component Based Term Structure Model
Download and Read Affine Principal Component Based Term Structure Model full books in PDF, ePUB, and Kindle. Read online free Affine Principal Component Based Term Structure Model ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
Affine Principal-Component-Based Term Structure Model
| Author | : Ivan Saroka |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Affine Principal-Component-Based Term Structure Model Book in PDF, Epub and Kindle
We present an affine multifactor Gaussian term structure model, where we let factors be principal components of yields. Taking forward the affine-yield idea presented in Duffie and Kan (1996) we derive general expressions for the coefficients of a multidimensional affine Gaussian stochastic process given an exogenous matrix of loadings of selected yields on the state variables.
Affine Principal-Component-Based Term Structure Model Related Books
Language: en
Pages: 50
Pages: 50
Type: BOOK - Published: 2014 - Publisher:
We present an affine multifactor Gaussian term structure model, where we let factors be principal components of yields. Taking forward the affine-yield idea pre
Language: en
Pages: 42
Pages: 42
Type: BOOK - Published: 2014 - Publisher:
We present an essentially affine model with pricipal components as state variables. We show that, once no-arbitrage is imposed, this choice of state variables i
Language: en
Pages: 274
Pages: 274
Type: BOOK - Published: 2010 - Publisher:
The first essay empirically evaluates recently developed techniques that have been proposed to improve the estimation of affine term structure models. The evalu
Language: en
Pages: 781
Pages: 781
Type: BOOK - Published: 2018-06-07 - Publisher: Cambridge University Press
In this book, well-known expert Riccardo Rebonato provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia) needed for the affin
Language: en
Pages: 1036
Pages: 1036
Type: BOOK - Published: 2016-03-23 - Publisher: John Wiley & Sons
A comprehensive guide to the current theories and methodologies intrinsic to fixed-income securities Written by well-known experts from a cross section of acade
