کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1136210 | 1489153 | 2011 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A numerical approach to obtain the yield curves with different risk-neutral drifts
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A numerical approach to obtain the yield curves with different risk-neutral drifts A numerical approach to obtain the yield curves with different risk-neutral drifts](/preview/png/1136210.png)
چکیده انگلیسی
In this paper we consider the possible dependence of the market price of risk on time and interest rates. This fact gives as a result that the risk-neutral drift, which is one of the coefficients of the pricing equation, also depends on time and interest rates. Then, we estimate the risk-neutral drift directly from the slope of the yield curve. This approach is very accurate as we show with a numerical experiment. In order to obtain the term structure we also propose a suitable finite difference method, which converges to the true solution. Finally, we obtain and compare the yield curves with data from the US Treasury Bill market.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematical and Computer Modelling - Volume 54, Issues 7–8, October 2011, Pages 1773–1780
Journal: Mathematical and Computer Modelling - Volume 54, Issues 7–8, October 2011, Pages 1773–1780
نویسندگان
L. Gómez-Valle, J. Martínez-Rodríguez,