Qualms About the Linearized Expectations Hypothesis and Variance-Bounds Studies of the Interest Rate Term Structure

1991 ◽  
pp. 305-319 ◽  
Author(s):  
Gary S. Shea
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Variance Bounds ◽  
Expectations Hypothesis ◽  
Interest Rate Term Structure ◽  
The Interest Rate

Entropy and information in the interest rate term structure

2002 ◽  
Vol 2 (1) ◽  
pp. 70-80 ◽  
Author(s):  
D C Brody ◽  
L P Hughston
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Interest Rate Term Structure ◽  
The Interest Rate

On the Information in the Interest Rate Term Structure and Option Prices

2004 ◽  
Vol 7 (2) ◽  
pp. 99-127 ◽  
Author(s):  
Frank de Jong ◽  
Joost Driessen ◽  
Antoon Pelsser
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Option Prices ◽  
Interest Rate Term Structure ◽  
The Interest Rate

Measuring Bond Investors’ Risk Appetite Using the Interest Rate Term Structure

2019 ◽  
Vol 28 (6) ◽  
pp. 115-127 ◽  
Author(s):  
Michael J. Howell
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Risk Appetite ◽  
Interest Rate Term Structure ◽  
The Interest Rate

A Consumption Based Term Structure Model w ith Habit Utility

2018 ◽  
Vol 9 (6) ◽  
pp. 484-496
Author(s):  
Jun Lou ◽  
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Bond Yields ◽  
Expectations Hypothesis ◽  
Term Structure Model ◽  
Bond Risk Premia ◽  
The Interest Rate ◽  
Bond Risk

This paper proposes a term structure of interest rates model that modifies and extends the Campbell and Cochrane (1999) surplus consumption framework. The distinguishing contributions are tractable, continuous-time analytical solutions for the term structure of interest rate generating a realistic upward sloping yield curve. Despite the focus on the term structure, the model matches plausible equity quantities. For the interest rate, the model is able to account for the moments of bond yields at numerous maturities and produce countercyclical bond risk premia as seen in the data. Moreover, the model captures reasonable time series fluctuation on real interest rates. However, the model has difficulties reproducing empirical deviations from the expectations hypothesis.

scholarly journals VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS

2007 ◽  
Vol 10 (02) ◽  
pp. 363-387 ◽  
Author(s):  
CHI CHIU CHU ◽  
YUE KUEN KWOK
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Analytic Approximation ◽  
Approximation Methods ◽  
Term Structure Model ◽  
Stochastic Duration ◽  
Payoff Structure ◽  
Interest Rate Term Structure ◽  
The Interest Rate ◽  
The One

We propose three analytic approximation methods for numerical valuation of the guaranteed annuity options in deferred annuity pension policies. The approximation methods include the stochastic duration approach, Edgeworth expansion, and analytic approximation in affine diffusions. The payoff structure in the annuity policies is similar to a quanto call option written on a coupon-bearing bond. To circumvent the limitations of the one-factor interest rate model, we model the interest rate dynamics by a two-factor affine interest rate term structure model. The numerical accuracy and the computational efficiency of these approximation methods are analyzed. We also investigate the value sensitivity of the guaranteed annuity option with respect to different parameters in the pricing model.

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