Advanced Search
MyIDEAS: Login

A Theory for the Term Structure of Interest Rates

Contents:

Author Info

  • Thomas Alderweireld

    (DEXIA group,square de Meeus, 1000, Brussels,)

  • Jean Nuyts

    (University of Mons-Hainaut, 20 place du Parc, Mons, Belgium)

Registered author(s):

    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.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://128.118.178.162/eps/fin/papers/0405/0405029.zip
    Download Restriction: no

    File URL: http://128.118.178.162/eps/fin/papers/0405/0405029.pdf
    Download Restriction: no

    File URL: http://128.118.178.162/eps/fin/papers/0405/0405029.ps.gz
    Download Restriction: no

    Bibliographic Info

    Paper provided by EconWPA in its series Finance with number 0405029.

    as in new window
    Length: 33 pages
    Date of creation: 24 May 2004
    Date of revision:
    Handle: RePEc:wpa:wuwpfi:0405029

    Note: Type of Document - zip; pages: 33. A latex version can be obtained on http://babbage.sissa.it/cond-mat/0405293
    Contact details of provider:
    Web page: http://128.118.178.162

    Related research

    Keywords: Interest rates; Scaling laws; Term structure;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0405029. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.