Add to ORKGWe examine the term structure model proposed by Kennedy (1994). The model assumes that the interest rates can be described as a Gaussian Random Field. We find conditions that the drift and covariance function of the forward rates have to satisfy. We then try to calibrate the model using a number of approaches. Finally the proposed covariance function by Kennedy (1997) is tested.Science, Faculty ofMathematics, Department ofGraduat
An interest rate model is described in which randomness in the short-term interest rate is due entir...
"An earlier draft of this paper appeared under the title: On the term structure of interest rates.
The classical approach in finance attempts to model the term structure of interest rates using speci...
AbstractAn extension of the Heath–Jarrow–Morton model for the development of instantaneous forward i...
he present paper analyses a broad range of one- and multifactor models of the term structure of inte...
Abstract. The present paper analyses a broad range of one { and multifactor models of the term struc...
Heath, Jarrow, and Morton (1992) present a general framework for modeling the term structure of inte...
The purpose of this paper is twofold. First, by focusing on Single Equation and VECM techniques comm...
We consider a new approach for estimating the coefficients of the term structure equation in two-fac...
This paper tests the one good stochastic growth model with respect to its ability to explain the ter...
This dissertation bundles five studies in financial econometrics that are related to the theme of mo...
In this paper, we simulate the term structure of interest rates, where the yield curve is based on f...
This dissertation bundles five studies in financial econometrics that are related to the theme of mo...
Copyright q 2012 Marco Di Francesco. This is an open access article distributed under the Creative C...
Heath, Jarrow, and Morton (1992) present a general framework for modeling the term structure of int...
An interest rate model is described in which randomness in the short-term interest rate is due entir...
"An earlier draft of this paper appeared under the title: On the term structure of interest rates.
The classical approach in finance attempts to model the term structure of interest rates using speci...
AbstractAn extension of the Heath–Jarrow–Morton model for the development of instantaneous forward i...
he present paper analyses a broad range of one- and multifactor models of the term structure of inte...
Abstract. The present paper analyses a broad range of one { and multifactor models of the term struc...
Heath, Jarrow, and Morton (1992) present a general framework for modeling the term structure of inte...
The purpose of this paper is twofold. First, by focusing on Single Equation and VECM techniques comm...
We consider a new approach for estimating the coefficients of the term structure equation in two-fac...
This paper tests the one good stochastic growth model with respect to its ability to explain the ter...
This dissertation bundles five studies in financial econometrics that are related to the theme of mo...
In this paper, we simulate the term structure of interest rates, where the yield curve is based on f...
This dissertation bundles five studies in financial econometrics that are related to the theme of mo...
Copyright q 2012 Marco Di Francesco. This is an open access article distributed under the Creative C...
Heath, Jarrow, and Morton (1992) present a general framework for modeling the term structure of int...
An interest rate model is described in which randomness in the short-term interest rate is due entir...
"An earlier draft of this paper appeared under the title: On the term structure of interest rates.
The classical approach in finance attempts to model the term structure of interest rates using speci...