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

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,