Estimation of the transition behaviour of term structures of interest rates

Autor:	W. Bühler, M. Schulze
Rok vydání:	1991
Předmět:	Statistics and Probability Vasicek model Actuarial science Interest rate derivative media_common.quotation_subject Trinomial Interest rate Term (time) Interest rate risk Economics Econometrics Bond market Statistics Probability and Uncertainty Rendleman–Bartter model media_common
Zdroj:	Statistical Papers. 32:281-297
ISSN:	1613-9798 0932-5026
DOI:	10.1007/bf02925503
Popis:	The current prices and interest rate sensitivities of interest rate derivatives depend on the stochastic behaviour of future term structures of interest rates. In this paper we present an arbitrage-free trinomial model to characterize possible changes of interest rates. This model is used to estimate the transition behaviour of term structures of interest rates in the German bond market.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::7b8acc9d83c8b601ebb9cb758b3e48a5 https://doi.org/10.1007/bf02925503 Zobrazit plný text záznamu Full text from SpringerLink