scholarly journals An Empirical Study on Korean Yield Curve Driven by fBm Vasicek Interest Rate Model

2009 ◽  
Vol 8 (3) ◽  
pp. 25-46
Author(s):  
joonhee Rhee ◽  
이명호
Keyword(s):  
Interest Rate ◽  
Empirical Study ◽  
Yield Curve ◽  
Rate Model ◽  
Interest Rate Model ◽  
Vasicek Interest Rate Model

A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL

2003 ◽  
Vol 06 (04) ◽  
pp. 317-326 ◽  
Author(s):  
ROBERT J. ELLIOTT ◽  
ROGEMAR S. MAMON
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Yield Curve ◽  
Forward Rate ◽  
Rate Model ◽  
Bond Price ◽  
Forward Measure ◽  
Expectation Hypothesis ◽  
Complete Set ◽  
Interest Rate Model

This paper aims to present a complete term structure characterisation of a Markov interest rate model. To attain this objective, we first give a proof that establishes the Unbiased Expectation Hypothesis (UEH) via the forward measure. The UEH result is then employed, which considerably facilitates the calculation of an explicit analytic expression for the forward rate f(t, T). The specification of the bond price P(t, T), yield rate Y(t, T) and f(t, T) gives a complete set of yield curve descriptions for an interest rate market where the short rate r is a function of a continuous time Markov chain.

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