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Spot Rate Models

Author

Listed:
  • Mario V. Wüthrich

    (ETH Zurich)

  • Michael Merz

    (University of Hamburg)

Abstract

In the previous chapter we have introduced the general valuation framework and state price deflators as abstract concepts. In this and the next chapters we present explicit models for state price deflator modeling. In the present chapter we consider models that are based on spot rates. They include multivariate Gaussian distributions and affine term structure models such as the discrete time one-factor and multifactor Vasicek models, ARMA and conditionally heteroscedastic time-series models, gamma spot rate models and the discrete time Black–Karasinski model. These models are supported by explicit applications to Swiss market financial data, and we analyze their strengths and weaknesses.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-3-642-31392-9_3
DOI: 10.1007/978-3-642-31392-9_3
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