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A Theory for the Term Structure of Interest Rates
Thomas Alderweireld,Jean Nuyts +1 more
TLDR
The discretised theoretical distributions matching the empirical data from the Federal Reserve System are deduced from aDiscretised seed which enjoys remarkable scaling laws and may be used to develop new methods for the computation of the value-at-risk and fixed-income derivative pricing.Abstract:
The Convolution and Master equations governing the time behavior of the term structure of Interest Rates are set up both for continuous variables and for their discretised forms. The notion of Seed is introduced. The discretised theoretical distributions matching the empirical data from the Federal Reserve System (FRS) are deduced from a discretised seed which enjoys remarkable scaling laws. In particular the tails of the distributions are very well reproduced. These results may be used to develop new methods for the computation of the value-at-risk and fixed-income derivative pricing.read more
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Quantitative Risk Management: Concepts, Techniques, and Tools
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Term Premia and Interest Rate Forecasts in Affine Models
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Affine Processes and Applications in Finance
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Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads
Jun Pan,Kenneth J. Singleton +1 more
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Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics
Suzanne S. Lee,Per A. Mykland +1 more
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Journal ArticleDOI
Elements of the Theory of Markov Processes and Their Applications
TL;DR: Bharucha-Reid as mentioned in this paper introduced the Markov process, a random process in which movement from the present to the future is not deterministic, but is given by a series of transition probabilities.