Interpreting implied risk neutral densities: the role of risk premia
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
European Central Bank
2003
|
| Series: | Working paper series / European Central Bank
274 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 55 S. graph. Darst. |
Staff View
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Record in the Search Index
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| adam_text |
TABLE
OF
CONTENTS
ABSTRACT
4
NON-TECHNICAL
SUMMARY
5
I
INTRODUCTION
(
7
2
THEORY
9
2.1
MODELLING
THE
DISTRIBUTION
10
2.2
MODELLING
THE
TERM
STRUCTURE
11
3
THE
COX,
INGERSOLL
AND
ROSS
MODEL
14
3.1
THE
CIR
INTEREST
RATE
PROCESS
14
3.2
RISK
PREMIA
IN
THE
CIR
MODEL
14
4
THREE-FACTOR
ESSENTIALLY
AFFINE
MODELS
19
4.1
A
GAUSSIAN
THREE-FACTOR
ATSM:
AO
(3)
21
4.2
ESTIMATION
USING
THE
KALMAN
FILTER
24
4.3
THE
AL
(3)
ESSENTIALLY
AFFINE
MODEL
29
5
DENSITY
EVALUATION
38
6
CONCLUSIONS
42
APPENDICES
A
DERIVATION
OF
THE
ODES
FOR
TRANSFORM
ANALYSIS
43
B
THE
LINK
BETWEEN
R
AND
P-DISTRIBUTIONS
IN
A
ONE-FACTOR
SETTING
44
C
THE
BOND
PRICE
PROCESS
IN
CIR
46
D
RISK-NEUTRAL
DYNAMICS
OF
YT
IN
THE
AO
(3)
CASE
47
E
THE
KALMAN
FILTER
IN
THE
AO
(3)
CASE
47
REFERENCES
49
EUROPEAN
CENTRAL
BANK
WORKING
PAPER
SERIES
5
1 |
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| spelling | Hördahl, Peter Verfasser aut Interpreting implied risk neutral densities the role of risk premia Peter Hördahl ; David Vestin Frankfurt am Main European Central Bank 2003 55 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Working paper series / European Central Bank 274 Interest rate risk Zinsstruktur (DE-588)4067855-6 gnd rswk-swf Termingeschäft (DE-588)4117190-1 gnd rswk-swf Risikoprämie (DE-588)4178227-6 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf Deutschland (DE-588)4011882-4 g Zinsstruktur (DE-588)4067855-6 s Termingeschäft (DE-588)4117190-1 s Risikoprämie (DE-588)4178227-6 s DE-604 Vestin, David Verfasser aut European Central Bank Working paper series 274 (DE-604)BV012681744 274 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010631237&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hördahl, Peter Vestin, David Interpreting implied risk neutral densities the role of risk premia Interest rate risk Zinsstruktur (DE-588)4067855-6 gnd Termingeschäft (DE-588)4117190-1 gnd Risikoprämie (DE-588)4178227-6 gnd |
| subject_GND | (DE-588)4067855-6 (DE-588)4117190-1 (DE-588)4178227-6 (DE-588)4011882-4 |
| title | Interpreting implied risk neutral densities the role of risk premia |
| title_auth | Interpreting implied risk neutral densities the role of risk premia |
| title_exact_search | Interpreting implied risk neutral densities the role of risk premia |
| title_full | Interpreting implied risk neutral densities the role of risk premia Peter Hördahl ; David Vestin |
| title_fullStr | Interpreting implied risk neutral densities the role of risk premia Peter Hördahl ; David Vestin |
| title_full_unstemmed | Interpreting implied risk neutral densities the role of risk premia Peter Hördahl ; David Vestin |
| title_short | Interpreting implied risk neutral densities |
| title_sort | interpreting implied risk neutral densities the role of risk premia |
| title_sub | the role of risk premia |
| topic | Interest rate risk Zinsstruktur (DE-588)4067855-6 gnd Termingeschäft (DE-588)4117190-1 gnd Risikoprämie (DE-588)4178227-6 gnd |
| topic_facet | Interest rate risk Zinsstruktur Termingeschäft Risikoprämie Deutschland |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010631237&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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