Determinación de una estructura de plazos para el mercado de renta fija de México mediante un modelo de tres factores para la dinámica de la tasa corta
In this paper we obtain an interest rate term structure to price fixed-rate assets. In such structure we model the dynamics of the short interest rate based on the three factor model proposed by Lin-Chen (1995). Here we use the Mexican daily funding government rate as the short interest rate. The term structure is modeled with parameters obtained by three-stage least squares. Such parameters are used as input for Monte Carlo simulation. This approach differs from the one by Lin-Chen, who proposes an analytical solution.
Volume (Year): 1 (2007)
Issue (Month): 2 ()
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