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Consistent fitting of one-factor models to interest rate data

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  • Rogers, L. C. G.
  • Stummer, Wolfgang

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  • Rogers, L. C. G. & Stummer, Wolfgang, 2000. "Consistent fitting of one-factor models to interest rate data," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 45-63, August.
  • Handle: RePEc:eee:insuma:v:27:y:2000:i:1:p:45-63
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    References listed on IDEAS

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    1. Richard, Scott F., 1978. "An arbitrage model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 33-57, March.
    2. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    3. Beekman, John A. & Shiu, Elias S. W., 1988. "Stochastic models for bond prices, function space integrals and immunization theory," Insurance: Mathematics and Economics, Elsevier, vol. 7(3), pages 163-173, October.
    4. de Munnik, Jeroen F. J. & Schotman, Peter C., 1994. "Cross-sectional versus time series estimation of term structure models: empirical results for the Dutch bond market," Journal of Banking & Finance, Elsevier, vol. 18(5), pages 997-1025, October.
    5. Pearson, Neil D & Sun, Tong-Sheng, 1994. " Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model," Journal of Finance, American Finance Association, vol. 49(4), pages 1279-1304, September.
    6. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
    7. Delbaen, F. & Lorimier, Sabine, 1992. "Estimation of the yield curve and the forward rate curve starting from a finite number of observations," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 259-269, December.
    8. Goovaerts, M. J. & Dhaene, J., 1999. "Supermodular ordering and stochastic annuities," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 281-290, May.
    9. Brown, Roger H. & Schaefer, Stephen M., 1994. "The term structure of real interest rates and the Cox, Ingersoll, and Ross model," Journal of Financial Economics, Elsevier, vol. 35(1), pages 3-42, February.
    10. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    11. Griselda Deelstra & Freddy Delbaen, 1995. "Long-term returns in stochastic interest rate models," ULB Institutional Repository 2013/7578, ULB -- Universite Libre de Bruxelles.
    12. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
    13. Albrecht, Peter, 1985. "A note on immunization under a general stochastic equilibrium model of the term structure," Insurance: Mathematics and Economics, Elsevier, vol. 4(4), pages 239-244, October.
    14. Deelstra, G. & Delbaen, F., 1995. "Long-term returns in stochastic interest rate models," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 163-169, October.
    15. Boyle, Phelim P. & Yang, Hailiang, 1997. "Asset allocation with time variation in expected returns," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 201-218, December.
    16. Stummer, Wolfgang, 2000. "On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift," Statistics & Probability Letters, Elsevier, vol. 46(1), pages 43-51, January.
    17. Farshid Jamshidian, 1996. "Bond, futures and option evaluation in the quadratic interest rate model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(2), pages 93-115.
    18. Corradi, Corrado, 1996. "On the estimation of smooth forward rate curves from a finite number of observations: A comment," Insurance: Mathematics and Economics, Elsevier, vol. 18(2), pages 115-117, July.
    19. Constantinides, George M, 1992. "A Theory of the Nominal Term Structure of Interest Rates," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 531-552.
    20. De Schepper, A. & Goovaerts, M. & Delbaen, F., 1992. "The Laplace transform of annuities certain with exponential time distribution," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 291-294, December.
    21. Griselda Deelstra & Freddy Delbaen, 1995. "Long-term returns in stochastic interest rate models: convergence in law," ULB Institutional Repository 2013/7580, ULB -- Universite Libre de Bruxelles.
    22. Stambaugh, Robert F., 1988. "The information in forward rates : Implications for models of the term structure," Journal of Financial Economics, Elsevier, vol. 21(1), pages 41-70, May.
    23. Dybvig, Philip H & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1996. "Long Forward and Zero-Coupon Rates Can Never Fall," The Journal of Business, University of Chicago Press, vol. 69(1), pages 1-25, January.
    24. Pedersen, Hal W. & Shiu, Elias S. W., 1994. "Evaluation of the GIC rollover option," Insurance: Mathematics and Economics, Elsevier, vol. 14(2), pages 117-127, May.
    25. Gibbons, Michael R & Ramaswamy, Krishna, 1993. "A Test of the Cox, Ingersoll, and Ross Model of the Term Structure," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 619-658.
    26. Darrell Duffie & Rui Kan, 1996. "A Yield-Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 379-406.
    27. F. Jamshidian, 1995. "A simple class of square-root interest-rate models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(1), pages 61-72.
    28. David F. Babbel & Anthony M. Santomero, 1997. "Risk Management by Insurers: An Analysis of the Process," Center for Financial Institutions Working Papers 96-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
    29. Vetzal, Kenneth R., 1994. "A survey of stochastic continuous time models of the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 14(2), pages 139-161, May.
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    Cited by:

    1. Paulo M.M. Rodrigues & Antonio Rubia, 2004. "On The Small Sample Properties Of Dickey Fuller And Maximum Likelihood Unit Root Tests On Discrete-Sampled Short-Term Interest Rates," Working Papers. Serie AD 2004-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    2. Andrea De Martino & Edward Manuel Ruiz Crosby & Roberto Stagni, 2017. "A unified framework for pricing credit and equity derivatives," Working Papers 2017-116, Peruvian Economic Association.
    3. Changyu Liu & Michael Sherris, 2017. "Immunization and Hedging of Post Retirement Income Annuity Products," Risks, MDPI, Open Access Journal, vol. 5(1), pages 1-29, March.

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