BIBLIO is the largest independent book marketplace in the world, with over 100 million books.

Skip to content

Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term
Stock photo: cover may vary

Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models Paperback - 2014

by Federal Reserve Board

Add to wish list

Reader reviews for Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models

From the publisher

This paper develops a method to approximate arbitrage-free bond yields within a term structure model in which the short rate follows a Gaussian process censored at zero (a shadow-rate model as proposed by Black, 1995). The censoring ensures that model-implied yields are constrained to be positive, but it also introduces non-linearity that renders standard bond pricing formulas inapplicable. In particular, yields are not linear functions of the underlying state vector as they are in a ne term structure models (see Piazzesi, 2010). Existing approaches towards computing yields in shadow-rate models suffer from high computational burden or low accuracy. In contrast, I show that the technique proposed in this paper is sufficiently fast for single-step estimation of a three- factor shadow-rate term structure model, and sufficiently accurate to evaluate yields to within approximately half a basis point.

Details

  • Title Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models
  • Author Federal Reserve Board
  • Binding Paperback
  • Pages 36
  • Volumes 1
  • Language ENG
  • Publisher Createspace Independent Publishing Platform
  • Publication date 2014-11-14
  • ISBN 9781503223738 / 1503223736
  • Weight 0.24 lbs (0.11 kg)
  • Dimensions 11.02 x 8.5 x 0.07 in (27.99 x 21.59 x 0.18 cm)
  • Category Business / Economics / Finance

More Copies for Sale

Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models
Stock photo: cover may vary

Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models

by Federal Reserve Board

  • New
Condition
New
ISBN 10 / ISBN 13
9781503223738 / 1503223736
Quantity available
5
Seller
Item price
A$17.68
A$5.82 Delivery to USA

Show details

Description:
new.
Add to wish list
Item price
A$17.68
A$5.82 Delivery to USA
Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models
Stock photo: cover may vary

Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models

by Federal Reserve Board

  • New
  • Paperback
Condition
New
Binding
Paperback
ISBN 10 / ISBN 13
9781503223738 / 1503223736
Quantity available
10
Seller
Item price
A$29.56
A$19.20 Delivery to USA

Show details

Description:
Paperback / softback. New.
Add to wish list
Item price
A$29.56
A$19.20 Delivery to USA
Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models
Stock photo: cover may vary

Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models

by Federal Reserve Board

  • New
  • Paperback
Condition
New
Binding
Paperback
ISBN 10 / ISBN 13
9781503223738 / 1503223736
Quantity available
10
Seller
Item price
A$32.80
A$19.20 Delivery to USA

Show details

Description:
Paperback / softback. New.
Add to wish list
Item price
A$32.80
A$19.20 Delivery to USA
Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models
Stock photo: cover may vary

Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models

by Federal Reserve Board

  • Used
Condition
New
ISBN 10 / ISBN 13
9781503223738 / 1503223736
Quantity available
5
Seller
Item price
A$41.31
A$5.82 Delivery to USA

Show details

Description:
like new.
Add to wish list
Item price
A$41.31
A$5.82 Delivery to USA
Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models
Stock photo: cover may vary

Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models

by Federal Reserve Board

  • Used
  • Good
  • Paperback
Condition
Good
Binding
Paperback
ISBN 10 / ISBN 13
9781503223738 / 1503223736
Quantity available
1
Seller
Item price
A$47.15
Free Delivery to USA

Show details

Description:
paperback. Good. Access codes and supplements are not guaranteed with used items. May be an ex-library book.
Add to wish list
Item price
A$47.15
Free Delivery to USA