Interest rate factor models: term structure dynamics and derivatives pricing
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | German |
| Published: |
1997
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 110 S. graph. Darst. |
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Record in the Search Index
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| adam_text | Contents
Introduction 3
Chapter 1. Fixed Income Instruments and the Term Structure of Interest Rates 9
1. Terminology 9
1.1. Bonds and Interest Rates 9
1.2. Interest Rate Swaps 12
1.3. Options 12
1.4. Futures 14
2. Term Structure Interpolation 15
Chapter 2. Short Rate Models 21
1. Arbitrage Concepts in Continuous Time 22
1.1. Self financing Portfolio Strategies and the Absence of Arbitrage 22
1.2. Numeraires and Martingale Measures 23
2. Assumptions and General Model Properties 28
3. One Factor Models 29
3.1. The Bond Price PDE 29
3.2. Examples from the Literature 30
4. Affine Models 31
4.1. The Affine SDE 32
4.2. A Multifactor Version of the Cox/Ingersoll/Ross Model 34
4.2.1. Pricing and Hedging 37
4.2.2. Spread Option Pricing 42
4.2.3. Term Structure Fitting 46
4.3. Gaussian Models 47
4.3.1. A Comparable Model 49
4.3.2. Spread Option Pricing 49
Chapter 3. Endogenous Dynamics of the Term Structure Shape 55
1. Qualitative Comparison: Which Shapes are Possible? 55
1.1. Affine Models 56
1.2. Other Models 60
1.3. Some Remarks on Mean Reversion 63
2. Quantitative Comparison: Spread Option Prices 64
3. Conclusions 68
4. Parameter Constellations 70
4.1. One Factor Models 70
4.2. Multifactor Models 70
l
2 CONTENTS
Chapter 4. A Tractable Model with Endogenous Interpolation and Positive Interest Rates 71
1. The Model 72
1.1. The Short Rate Process 72
1.2. Fitting the Model to Zero Coupon Bond Prices 74
1.3. Initial Volatility Term Structures 76
2. Pricing and Hedging 77
2.1. Contingent Claim Valuation 77
2.2. Term Structure Interpolation 82
2.3. Hedging 84
3. Multifactor Extensions 86
3.1. Model Construction 86
3.2. Option Pricing 87
4. Closing Remarks 89
Appendix A. On the Non Explosion of Solutions of an SDE 91
1. Function Space Representation of Solutions 92
2. Constructing Solutions with Deterministic Initial Conditions from (Y, W) 96
3. Concluding Proof of Theorem A.0.3: 100
Appendix B. Multiple Compound 2 Distribution 101
Bibliography 107
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| genre_facet | Hochschulschrift |
| id | DE-604.BV011877822 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:17:53Z |
| institution | BVB |
| language | German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008025279 |
| oclc_num | 44610982 |
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| physical | 110 S. graph. Darst. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
| record_format | marc |
| spelling | Schlögl, Erik 1966- Verfasser (DE-588)118200259 aut Interest rate factor models term structure dynamics and derivatives pricing vorgelegt von Erik Schlögl 1997 110 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bonn, Univ., Diss., 1997 Zinsänderungsrisiko (DE-588)4067851-9 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Derivat Wertpapier (DE-588)4381572-8 s Zinsänderungsrisiko (DE-588)4067851-9 s Bewertung (DE-588)4006340-9 s Zinsstrukturtheorie (DE-588)4117720-4 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008025279&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schlögl, Erik 1966- Interest rate factor models term structure dynamics and derivatives pricing Zinsänderungsrisiko (DE-588)4067851-9 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Bewertung (DE-588)4006340-9 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| subject_GND | (DE-588)4067851-9 (DE-588)4381572-8 (DE-588)4006340-9 (DE-588)4117720-4 (DE-588)4113937-9 |
| title | Interest rate factor models term structure dynamics and derivatives pricing |
| title_auth | Interest rate factor models term structure dynamics and derivatives pricing |
| title_exact_search | Interest rate factor models term structure dynamics and derivatives pricing |
| title_full | Interest rate factor models term structure dynamics and derivatives pricing vorgelegt von Erik Schlögl |
| title_fullStr | Interest rate factor models term structure dynamics and derivatives pricing vorgelegt von Erik Schlögl |
| title_full_unstemmed | Interest rate factor models term structure dynamics and derivatives pricing vorgelegt von Erik Schlögl |
| title_short | Interest rate factor models |
| title_sort | interest rate factor models term structure dynamics and derivatives pricing |
| title_sub | term structure dynamics and derivatives pricing |
| topic | Zinsänderungsrisiko (DE-588)4067851-9 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Bewertung (DE-588)4006340-9 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| topic_facet | Zinsänderungsrisiko Derivat Wertpapier Bewertung Zinsstrukturtheorie Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008025279&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT schloglerik interestratefactormodelstermstructuredynamicsandderivativespricing |