Fed fund target model in presence of unspanned stochastic volatility.

Lai, Kwok Tung.Thesis (M.Phil.)--Chinese University of Hong Kong, 2008.Includes bibliographical references (leaves 64-66).Abstracts in English and Chinese.Abstract --- p.iChapter 1 --- Introduction --- p.1Chapter 2 --- Literature Review --- p.9Chapter 3 --- Preliminary Analysis of Data --- p.17Chapter 3.1 --- Data --- p.17Chapter 3.2 --- Preliminary Analysis of Unspanned Stochastic Volatility --- p.20Chapter 4 --- A Jump-Diffusion Model for Federal Funds Target Rate --- p.23Chapter 4.1 --- Model Specification --- p.23Chapter 4.2 --- Estimation Result --- p.31Chapter 5 --- Pricing and Hedging Performance of Interest Rate Derivatives --- p.34Chapter 5.1 --- Pricing Performance of Interest Rate Cap --- p.34Chapter 5.2 --- Hedging Performance of Interest Rate Caplet --- p.38Chapter 5.3 --- Hedging Performance of Interest Rate Straddle --- p.42Chapter 6 --- Conclusion --- p.49Figures --- p.51Tables --- p.55Bibliography --- p.6