Essays on term structure modeling: estimation, nonlinearities, and immunization
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| Format: | Thesis Book |
| Language: | German |
| Published: |
2007
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XII, 138 S. graph. Darst. 21 cm |
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Record in the Search Index
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| adam_text | JOHANN WOLFGANG GOETHE-UNIVERSITAT FRANKFURT AM MAIN GOCTHE-UNLVERSLTST
3 - *- I ESSAYS ON TERM STRUCTURE MODELING: ESTIMATION, NONLINEARITIES,
AND IMMUNIZATION INAUGURAL-DISSERTATION ZUR ERLANGUNG DES DOKTORGRADES
DES FACHBEREICHS WIRTSCHAFTSWISSENSCHAFTEN DER JOHANN WOLFGANG
GOETHE-UNIVERSITAT FRANKFURT AM MAIN VORGCLCGT VON DIPL.-VOLKSW.
THCOFANIS ARCHONTAKIS AUS OELDE 2007 CONTENTS ACKNOWLEDGMENTS III LIST
OF ORIGINAL WORKING PAPERS V ABSTRACT VI LIST OF FIGURES X LIST OF
TABLES XII PREFACE 1 1 ESTIMATING THE TERM STRUCTURE OF INTEREST RATES
USING PENALIZED SPLINES 6 1.1 INTRODUCTION 6 1.2 DATA 8 1.3 SPLINE
MODELS FOR THE TERM STRUCTURE 9 1.3.1 BIVARIATE SPLINE SMOOTHING 9 1.4
SPLINE SMOOTHING WITH CORRELATED ERRORS 12 1.5 EMPIRICAL RESULTS 14 1.6
DISCUSSION 15 1.7 APPENDIX 16 CONTENTS VIII 1.7.1 TABLES 16 1.7.2
FIGURES 17 1.8 REFERENCES 21 2 BOND PRICING WHEN THE SHORT-TERM INTEREST
RATE FOLLOWS A THRESH- OLD PROCESS 23 2.1 INTRODUCTION 23 2.2 THE MODEL
25 2.3 ARBITRAGE-FREE TERM STRUCTURE 27 2.4 A NUMERICAL EXAMPLE 34 2.5
SUMMARY AND OUTLOOK 37 2.6 APPENDIX 39 2.6.1 TWO AUXILIARY RESULTS 39
2.6.2 DERIVATION OF THE BOND PRICING FORMULA FOR N 2 40 2.6.3 FIGURES
47 2.7 REFERENCES 49 3 THRESHOLD DYNAMICS OF SHORT-TERM INTEREST RATES:
EMPIRICAL EV- IDENCE AND IMPLICATIONS FOR THE TERM STRUCTURE 51 3.1
INTRODUCTION 51 3.2 A THRESHOLD MODEL FOR THE SHORT-TERM INTEREST RATE
53 3.2.1 MODEL SPECIFICATION 53 3.2.2 ESTIMATION AND TESTING APPROACH 54
3.3 ESTIMATION RESULTS FOR US AND GERMAN INTEREST RATES 58 3.4 TERM
STRUCTURE IMPLICATIONS 61 3.4.1 METHODOLOGY 62 3.4.2 STYLIZED FACTS 66
CONTENTS IX 3.4.3 SIMULATION RESULTS 67 3.5 CONCLUDING REMARKS 73 3.6
APPENDIX 75 3.6.1 TABLES 75 3.6.2 FIGURES 82 3.7 REFERENCES 89 4 HEDGING
INTEREST RATE RISK IN A DATA-RICH ENVIRONMENT 93 4.1 INTRODUCTION 93 4.2
MODELING THE TERM STRUCTURE OF INTEREST RATES 95 4.2.1 A NO-ARBITRAGE
FACTOR-AUGMENTED TERM STRUCTURE MODEL . . 96 4.2.2 DATA AND ESTIMATION
98 4.2.3 ESTIMATION RESULTS 100 4.3 FACTOR IMMUNIZATION IN A
NO-ARBITRAGE FRAMEWORK 102 4.3.1 FACTOR DURATIONS 102 4.3.2 IMMUNIZATION
DESIGN 105 4.4 IMMUNIZATION RESULTS 109 4.5 CONCLUDING REMARKS 113 4.6
APPENDIX 114 4.6.1 TABLES 114 4.6.2 FIGURES 122 4.7 REFERENCES 128
ZUSAMMENFASSUNG 132
|
| adam_txt |
JOHANN WOLFGANG GOETHE-UNIVERSITAT FRANKFURT AM MAIN GOCTHE-UNLVERSLTST
3 - *- I ESSAYS ON TERM STRUCTURE MODELING: ESTIMATION, NONLINEARITIES,
AND IMMUNIZATION INAUGURAL-DISSERTATION ZUR ERLANGUNG DES DOKTORGRADES
DES FACHBEREICHS WIRTSCHAFTSWISSENSCHAFTEN DER JOHANN WOLFGANG
GOETHE-UNIVERSITAT FRANKFURT AM MAIN VORGCLCGT VON DIPL.-VOLKSW.
THCOFANIS ARCHONTAKIS AUS OELDE 2007 CONTENTS ACKNOWLEDGMENTS III LIST
OF ORIGINAL WORKING PAPERS V ABSTRACT VI LIST OF FIGURES X LIST OF
TABLES XII PREFACE 1 1 ESTIMATING THE TERM STRUCTURE OF INTEREST RATES
USING PENALIZED SPLINES 6 1.1 INTRODUCTION 6 1.2 DATA 8 1.3 SPLINE
MODELS FOR THE TERM STRUCTURE 9 1.3.1 BIVARIATE SPLINE SMOOTHING 9 1.4
SPLINE SMOOTHING WITH CORRELATED ERRORS 12 1.5 EMPIRICAL RESULTS 14 1.6
DISCUSSION 15 1.7 APPENDIX 16 CONTENTS VIII 1.7.1 TABLES 16 1.7.2
FIGURES 17 1.8 REFERENCES 21 2 BOND PRICING WHEN THE SHORT-TERM INTEREST
RATE FOLLOWS A THRESH- OLD PROCESS 23 2.1 INTRODUCTION 23 2.2 THE MODEL
25 2.3 ARBITRAGE-FREE TERM STRUCTURE 27 2.4 A NUMERICAL EXAMPLE 34 2.5
SUMMARY AND OUTLOOK 37 2.6 APPENDIX 39 2.6.1 TWO AUXILIARY RESULTS 39
2.6.2 DERIVATION OF THE BOND PRICING FORMULA FOR N 2 40 2.6.3 FIGURES
47 2.7 REFERENCES 49 3 THRESHOLD DYNAMICS OF SHORT-TERM INTEREST RATES:
EMPIRICAL EV- IDENCE AND IMPLICATIONS FOR THE TERM STRUCTURE 51 3.1
INTRODUCTION 51 3.2 A THRESHOLD MODEL FOR THE SHORT-TERM INTEREST RATE
53 3.2.1 MODEL SPECIFICATION 53 3.2.2 ESTIMATION AND TESTING APPROACH 54
3.3 ESTIMATION RESULTS FOR US AND GERMAN INTEREST RATES 58 3.4 TERM
STRUCTURE IMPLICATIONS 61 3.4.1 METHODOLOGY 62 3.4.2 STYLIZED FACTS 66
CONTENTS IX 3.4.3 SIMULATION RESULTS 67 3.5 CONCLUDING REMARKS 73 3.6
APPENDIX 75 3.6.1 TABLES 75 3.6.2 FIGURES 82 3.7 REFERENCES 89 4 HEDGING
INTEREST RATE RISK IN A DATA-RICH ENVIRONMENT 93 4.1 INTRODUCTION 93 4.2
MODELING THE TERM STRUCTURE OF INTEREST RATES 95 4.2.1 A NO-ARBITRAGE
FACTOR-AUGMENTED TERM STRUCTURE MODEL . . 96 4.2.2 DATA AND ESTIMATION
98 4.2.3 ESTIMATION RESULTS 100 4.3 FACTOR IMMUNIZATION IN A
NO-ARBITRAGE FRAMEWORK 102 4.3.1 FACTOR DURATIONS 102 4.3.2 IMMUNIZATION
DESIGN 105 4.4 IMMUNIZATION RESULTS 109 4.5 CONCLUDING REMARKS 113 4.6
APPENDIX 114 4.6.1 TABLES 114 4.6.2 FIGURES 122 4.7 REFERENCES 128
ZUSAMMENFASSUNG 132 |
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| spelling | Archontakis, Theofanis 1977- Verfasser (DE-588)13388161X aut Essays on term structure modeling estimation, nonlinearities, and immunization vorgelegt von Theofanis Archontakis 2007 XII, 138 S. graph. Darst. 21 cm txt rdacontent n rdamedia nc rdacarrier Frankfurt am Main, Univ., Diss., 2007 Zinsstruktur (DE-588)4067855-6 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content Zinsstruktur (DE-588)4067855-6 s DE-188 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016806510&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| title | Essays on term structure modeling estimation, nonlinearities, and immunization |
| title_auth | Essays on term structure modeling estimation, nonlinearities, and immunization |
| title_exact_search | Essays on term structure modeling estimation, nonlinearities, and immunization |
| title_exact_search_txtP | Essays on term structure modeling estimation, nonlinearities, and immunization |
| title_full | Essays on term structure modeling estimation, nonlinearities, and immunization vorgelegt von Theofanis Archontakis |
| title_fullStr | Essays on term structure modeling estimation, nonlinearities, and immunization vorgelegt von Theofanis Archontakis |
| title_full_unstemmed | Essays on term structure modeling estimation, nonlinearities, and immunization vorgelegt von Theofanis Archontakis |
| title_short | Essays on term structure modeling |
| title_sort | essays on term structure modeling estimation nonlinearities and immunization |
| title_sub | estimation, nonlinearities, and immunization |
| topic | Zinsstruktur (DE-588)4067855-6 gnd |
| topic_facet | Zinsstruktur Aufsatzsammlung Hochschulschrift |
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