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 Structure Models

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

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
  • Used
  • Good
  • Paperback
Used - Good

Description

paperback. Good. Access codes and supplements are not guaranteed with used items. May be an ex-library book.
Ask the seller a question Add to wish list
A$47.15
Free Delivery within USA
Standard delivery: 7 to 14 days
More delivery options
Dropship order
Ships from Bonita (California, United States)

Details

  • Title Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models
  • Author Federal Reserve Board
  • Binding Paperback
  • Condition Used - Good
  • Pages 36
  • Volumes 1
  • Language ENG
  • Publisher Createspace Independent Publishing Platform
  • Publication date 2014-11-14
  • Bookseller's Inventory # 1503223736.G
  • 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
  • Quantity available 1

About Bonita California, United States

Biblio member since 2020

Terms of Sale: 30 day return guarantee, with full refund including original shipping costs for up to 30 days after delivery if an item arrives misdescribed or damaged.

Browse books from Bonita

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.
tracking-