Du bist nicht eingeloggt. Du musst dich anmelden oder registrieren und Mitglied dieser Institution werden um Zugang zu erhalten. In unserer Hilfe findest du Informationen wie du Mitglied einer Institution werden kannst.
Der Vortrag „The Art of Term Structure Models: Drift “ von Edu Pristine ist Bestandteil des Kurses „Archiv - Market Risks“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
5 Sterne |
|
5 |
4 Sterne |
|
0 |
3 Sterne |
|
0 |
2 Sterne |
|
0 |
1 Stern |
|
0 |
... In addition to volatility, we can have interest rates with no drift, constant drift and mean reverting drift. Simplest model assumes that interest rates are normally distributed and have no drift. Continuously compounded interest rate is assumed to follow relation ...
... rates, they can be capped at zero to recreate the rate tree. Alternatively, we must change the basic assumption to distributions which are non negative like lognormal or ...
... shift which is usually not observed. Scenario II: Model with constant drift dr = dt + dw where = constant drift and = const volatility. Example: If r 0 = 6% i.e., current short term rate, = 2% and = 0.5% ...
... structure which is observed in markets. Since two parameters have to be chosen for calibration the model fitting is better. If drift is assumed to be risk premium, then ...
... allow for mean reversion. The short rate follows a normal process. Allow drift to change in each time period and also assume negative values. Drift is the sum of risk premium and expected rate change. Recombined middle node at time ...
... or illiquid. Models calibrated using market data and then used to price illiquid securities. Arbitrage models assume market prices are accurate which may not be in case of excess ...
... mean equilibrium level then positive drift will move closer to mean levels dr = m(? – r)dt +dw m = speed of mean reversion = mean reverting interest rate level r = current interest rate level. Thus, drift = m(? – r) ...
... can be recombined. ...
... of the middle two nodes to compute the middle node value. Also involves replacing the probabilities of 50% up & down with new probabilities which must ...
... = current interest rate = half life which is half the average time to reach mean reverting level from current level. Larger mean reversion ...
... hand no drift models produce a flat term structure of rates. Vasicek model does not imply parallel shift from interest rate shocks which is the case with no drift models. Long lived shocks have low ...