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A Theory for the Term Structure of Interest Rates

  • Thomas Alderweireld

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

  • Jean Nuyts

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

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    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.

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

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    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

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