haku: @indexterm FINANCIAL THEORY / yhteensä: 142
viite: 6 / 142
| Tekijä: | Dai, Q. Singleton, K. |
| Otsikko: | Term structure dynamics in theory and reality |
| Lehti: | Review of Financial Studies
2003 : FALL, VOL. 16:3, p. 631-678 |
| Asiasana: | Financial theory Dynamic models Market structure |
| Kieli: | eng |
| Tiivistelmä: | The authors critically survey models designed for pricing fixed-income securities and their associated term structures of market yields. They begin by overviewing the dynamic term structure models that have been fit to treasury or swap yield curves and in which the risk factors follow diffusions, jump-diffusion, or have "switching regimes". The the goodness-of-fit of these models is assessed relative to their abilities to match linear projections of changes in yields on to the slope of the yield curve; match the persistence of conditional volatilities, and the shapes of term structures of unconditional volatilities, of yields; and to reliably price caps, swaptions, and other fixed-income derivatives. |
SCIMA