Estimaciin Dinnmica De Una Estructura De Tasas De Interrs Para Colombia: Annlisis Empprico Con Filtros De Kalman (Dynamic Estimation of the Term Structure Interest Rate Model for the Colombian Markets, Empirical Analysis Using Kalman-Filter)

2012 ◽  
Author(s):  
Rogelio Maldonado Castaao ◽  
Natalia Zapata Rueda
Keyword(s):  
Kalman Filter ◽  
Interest Rate ◽  
Empirical Analysis ◽  
Term Structure ◽  
Rate Model ◽  
Dynamic Estimation ◽  
Interest Rate Model

A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL

2003 ◽  
Vol 06 (04) ◽  
pp. 317-326 ◽  
Author(s):  
ROBERT J. ELLIOTT ◽  
ROGEMAR S. MAMON
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Yield Curve ◽  
Forward Rate ◽  
Rate Model ◽  
Bond Price ◽  
Forward Measure ◽  
Expectation Hypothesis ◽  
Complete Set ◽  
Interest Rate Model

This paper aims to present a complete term structure characterisation of a Markov interest rate model. To attain this objective, we first give a proof that establishes the Unbiased Expectation Hypothesis (UEH) via the forward measure. The UEH result is then employed, which considerably facilitates the calculation of an explicit analytic expression for the forward rate f(t, T). The specification of the bond price P(t, T), yield rate Y(t, T) and f(t, T) gives a complete set of yield curve descriptions for an interest rate market where the short rate r is a function of a continuous time Markov chain.

scholarly journals A General Gaussian Interest Rate Model Consistent with the Current Term Structure

2012 ◽  
Vol 2012 ◽  
pp. 1-16 ◽  
Author(s):  
Marco Di Francesco
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Goodness Of Fit ◽  
Rate Model ◽  
Credit Crisis ◽  
Interest Rate Models ◽  
Deterministic Function ◽  
Current Term ◽  
Critical Issues ◽  
Interest Rate Model

We describe an extension of Gaussian interest rate models studied in literature. In our model, the instantaneous spot rate is the sum of several correlated stochastic processes plus a deterministic function. We assume that each of these processes has a Gaussian distribution with time-dependent volatility. The deterministic function is given by an exact fitting to observed term structure. We test the model through various numeric experiments about the goodness of fit to European swaptions prices quoted in the market. We also show some critical issues on calibration of the model to the market data after the credit crisis of 2007.

THE TWO-STATE INTEREST RATE MODEL FOR PRICING BONDS: AN EMPIRICAL ANALYSIS

1991 ◽  
Vol 14 (2) ◽  
pp. 105-115 ◽  
Author(s):  
Yatin N. Bhagwat ◽  
Michael C. Ehrhardt ◽  
David W. Johnson
Keyword(s):  
Interest Rate ◽  
Empirical Analysis ◽  
Rate Model ◽  
Interest Rate Model

scholarly journals Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the Kalman filter

2014 ◽  
Vol 19 (37) ◽  
pp. 70-77 ◽  
Author(s):  
Rogelio Maldonado Castaño ◽  
Natalia Zapata Rueda ◽  
Javier Orlando Pantoja Robayo
Keyword(s):  
Kalman Filter ◽  
Interest Rate ◽  
Empirical Analysis ◽  
Rate Structure ◽  
Dynamic Estimation
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