The application of dynamic interest rate model
碩士 === 國立臺灣大學 === 商學系 === 84 === Dynamic intrest rate models produce the dynamic of the term structure intrest rate that is useful for pricing intrest rate contingents claims. By pstulating interest rate sensitive security prices as determined by a small...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1996
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| Online Access: | http://ndltd.ncl.edu.tw/handle/63846695954425377851 |
| Summary: | 碩士 === 國立臺灣大學 === 商學系 === 84 === Dynamic intrest rate models produce the dynamic of the term
structure intrest rate that is useful for pricing intrest rate
contingents claims. By pstulating interest rate sensitive
security prices as determined by a small sset of state
variables. Specifying the evoluation of the instantaneous
return of a cross section of intrest rate contigents claims
would allow derivative of a deterministic equation for claims
price. Due to undesirable market structure , some parameters
can not appropriately estimated. However, the procedure
established will be valuable for future researchers as well as
practioners.
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