Consistence between Initial Curves and Interest Rate Models: An Empirical Study in Taiwan Market

• Main Authors: Shih-Feng Kao, 高士鳳
• Other Authors: Jow-Ran Chang
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/34986214737050814278

碩士 === 國立清華大學 === 科技管理研究所 === 93 === This study investigates the importance of consistence with fitting curve techniques and arbitrage free interest rate model for pricing interest derivatives. We employ three different yield curve fitting methods which are exponential interpolation method, Nelson-Siegel (1987) and Steeley (1991) and use them as input to estimate the parameters for two different interest rate models, Heath-Jarrow-Morton (1992) and Hull-White (1994), to pricing Taiwan Treasury bond futures. The results show that the combination of consistent fitting curve method and interest rate model helps in stabilizing the parameters estimators and reducing the pricing error of bond futures. We present the best combination of fitting curve method and interest rate model is Nelson-Siegel method and Hull-White model with the mean percentage error of bond futures 0.0379.