Interest rate term structure and the Chinese fiscal policy: a mixed frequency term structure approach

2020 ◽  
pp. 1-20
Author(s):  
Yuhuang Shang ◽  
Xuyang Zhang ◽  
Qing Wang
Keyword(s):  
Fiscal Policy ◽  
Interest Rate ◽  
Term Structure ◽  
Structure Approach ◽  
Mixed Frequency ◽  
Interest Rate Term Structure ◽  
Frequency Term

BOND MARKET MODEL

2006 ◽  
Vol 09 (04) ◽  
pp. 577-596 ◽  
Author(s):  
ROBERTO BAVIERA
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Bond Market ◽  
Market Model ◽  
Structure Model ◽  
Over The Counter ◽  
Term Structure Model ◽  
Libor Market Model ◽  
Bond Options ◽  
Interest Rate Term Structure

We describe the Bond Market Model, a multi-factor interest rate term structure model, where it is possible to price with Black-like formulas the three classes of over-the-counter plain vanilla options. We derive the prices of caps/floors, bond options and swaptions. A comparison with Libor Market Model and Swap Market Model is discussed in detail, underlining advantages and limits of the different approaches.

Sign in / Sign up

Export Citation Format

Share Document