搜索结果: 1-4 共查到“Structure modelling”相关记录4条 . 查询时间(0.203 秒)
Term Structure Modelling by Using Nelson-Siegel Model
Nelson-Siegel model Nonlinear least squares Yield curve estimation
2016/1/27
Zero coupon rates are not observable in the market for a range of maturities. Therefore, an estimation methodology is required to derive the zero coupon yield curves from observable data. If we deal w...
CDO term structure modelling with Levy processes and the relation to market models
collateralized debt obligations loss process single tranche
2010/10/21
This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the ...
Continuous time Ehrenfest process in term structure modelling
ehrenfest model interest rate derivatives shortrate
2010/10/19
In this paper, a finite-state mean-reverting model for the short-rate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be de...
Continuous time Ehrenfest process in term structure modelling
ehrenfest model interest rate derivatives short-rate term structure vasicek model zero-couponbond
2010/4/27
In this paper, a finite-state mean-reverting model for the short-rate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be der...