The application of dynamic interest rate model

• Main Authors: Tzu-Ying Lee, 李姿瑩
• Other Authors: Chang-kun kuo
• Format: Others
• Language: zh-TW
• Published: 1996
• Online Access: http://ndltd.ncl.edu.tw/handle/63846695954425377851

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.