Uncertainty and implied variance bounds in long-memory models of the interest rate term structure

1991 ◽  
Vol 16 (3) ◽  
pp. 287-312 ◽  
Author(s):  
G. S. Shea
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Long Memory ◽  
Memory Models ◽  
Variance Bounds ◽  
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

scholarly journals Long Memory Models of Interest Rates, The Term Structure, and Variance Bounds Tests

1985 ◽  
Vol 1985 (258) ◽  
pp. 1-44
Author(s):  
Gary S. Shea ◽  
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Long Memory ◽  
Memory Models ◽  
Variance Bounds

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

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.

scholarly journals A Robust Approach to the Interest Rate Term Structure Estimation

2021 ◽  
Vol 4 (2) ◽  
pp. 169-188
Author(s):  
Min Li ◽  
Yan Yu
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Robust Approach ◽  
Structure Estimation ◽  
Interest Rate Term Structure ◽  
The Interest Rate
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