Fed fund target model in presence of unspanned stochastic volatility.

• Other Authors: Lai, Kwok Tung.
• Format: Others
• Language: English; Chinese
• Published: 2008
• Subjects: Derivative securities > Prices; Fixed-income securities > Prices; Stochastic processes
• Online Access: http://library.cuhk.edu.hk/record=b5893670; http://repository.lib.cuhk.edu.hk/en/item/cuhk-326308

Lai, Kwok Tung. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. === Includes bibliographical references (leaves 64-66). === Abstracts in English and Chinese. === Abstract --- p.i === Chapter 1 --- Introduction --- p.1 === Chapter 2 --- Literature Review --- p.9 === Chapter 3 --- Preliminary Analysis of Data --- p.17 === Chapter 3.1 --- Data --- p.17 === Chapter 3.2 --- Preliminary Analysis of Unspanned Stochastic Volatility --- p.20 === Chapter 4 --- A Jump-Diffusion Model for Federal Funds Target Rate --- p.23 === Chapter 4.1 --- Model Specification --- p.23 === Chapter 4.2 --- Estimation Result --- p.31 === Chapter 5 --- Pricing and Hedging Performance of Interest Rate Derivatives --- p.34 === Chapter 5.1 --- Pricing Performance of Interest Rate Cap --- p.34 === Chapter 5.2 --- Hedging Performance of Interest Rate Caplet --- p.38 === Chapter 5.3 --- Hedging Performance of Interest Rate Straddle --- p.42 === Chapter 6 --- Conclusion --- p.49 === Figures --- p.51 === Tables --- p.55 === Bibliography --- p.64