An alternative interest rate term structure model

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Show simple item record Platen, Eckhard en_US 2009-12-21T02:37:56Z 2009-12-21T02:37:56Z 2005 en_US
dc.identifier 2005001936 en_US
dc.identifier.citation Platen Eckhard 2005, 'An alternative interest rate term structure model', World Scientific Publishing Co., vol. 8, no. 6, pp. 717-735. en_US
dc.identifier.issn 0219-0249 en_US
dc.identifier.other C1 en_US
dc.description.abstract This paper proposes and alternative approach to the modeling of the interest rate twem structure. It suggests that the total market price for risk is an important factor that has to be modeled carefully. The growth optimal portfolio which is characterised by thie factor is used as reference unit or benchmark for obtaining a cosistent price system. Benchmarked derivative prices are tajen as conditional expectations of future bench-marked prices under the real world probability measure. The inverse of the squared total market price for risk is modeled as a square root process and shown to influence the medium and long term forward rates. With constant parameters and constant short rate the model already generates a hump shaped mean for the forward rate curve and other empirical features typically observed. en_US
dc.publisher World Scientific Publishing Co. en_US
dc.title An alternative interest rate term structure model en_US
dc.parent International Journal of Theoretical & Applied Finance en_US
dc.journal.volume 8 en_US
dc.journal.number 6 en_US
dc.publocation Singapore en_US
dc.identifier.startpage 717 en_US
dc.identifier.endpage 735 en_US BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 150201 en_US
dc.personcode 970685 en_US
dc.percentage 100 en_US Finance en_US
dc.classification.type FOR-08 en_US
dc.description.keywords interest rate term structure; growth optimal portfolio, fair pricing, market price for risk, square root process en_US
dc.staffid 970685 en_US

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