A model of the nominal term structure of interest rates is developed that
has a conditional variance whose process follows a nonlinear GARCH process. As a
quadratic 2-factor model, this model delivers analytical approximation formula for
the prices and yields-to-maturity of default-free bonds. Furthermore, the
comparison of the yield volatility of On-the-Run Treasuries with the volatility
curve of our model implies that it is of importance to take into account moments
for volatility curves as well as yield curves.
학회소식
공지사항
[2003년 제 2차] THE NOMINAL TERM STRUCTURE OF INTEREST RATES UNDER
작성자 : 관리자
조회수 : 844
게시일 :
2003-07-12
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