Continuous and discrete time modelling of short-term interest rates

Hsiao, C; Semmler, W

Continuous and discrete time modelling of short-term interest rates

Hsiao, C Semmler, W

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Publisher:: Palgrave Macmillan
Publication Type:: Chapter
Citation:: Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models, 2011, 1st, pp. 163 - 187
Issue Date:: 2011-01

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Field	Value	Language
dc.contributor.author	Hsiao, C	en_US
dc.contributor.author	Semmler, W	en_US
dc.contributor.editor	Gregoriou, GN	en_US
dc.contributor.editor	Pascalau, R	en_US
dc.date.issued	2011-01	en_US
dc.identifier.citation	Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models, 2011, 1st, pp. 163 - 187	en_US
dc.identifier.isbn	978-0-230-28363-3	en_US
dc.identifier.uri	http://hdl.handle.net/10453/14359
dc.description.abstract	The Madoff case has all the makings of a Pona! scheme. Ponzi schemes follow what Hyman Minsky described as Ponzi finance. Do hedge funds, or at least some of them, follow a similar scheme? The best summary of different financing practices, such as hedge, speculative, and Ponzi financing, is given in Minsky (1986). Hedge finance is a situation where operating cash flow can service all payment obligations associated with the financing. Speculative finance involves situations where operating cash flow supports interest payments but not repayment of principal. Ponzi finance describes a situation where operating cash flow is insuffiCient to cover either principal or interest payments, which can be financed only via an increase in liabilities, thus by a new inflow of funds.	en_US
dc.publisher	Palgrave Macmillan	en_US
dc.relation.ispartof	Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models	en_US
dc.title	Continuous and discrete time modelling of short-term interest rates	en_US
dc.type	Chapter
utslib.location	London, UK	en_US
utslib.for	140302 Econometric and Statistical Methods	en_US
utslib.for	150202 Financial Econometrics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.citation.edition	1st	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.edition	1st	en_US
pubs.place-of-publication	London, UK	en_US

Abstract:

The Madoff case has all the makings of a Pona! scheme. Ponzi schemes follow what Hyman Minsky described as Ponzi finance. Do hedge funds, or at least some of them, follow a similar scheme? The best summary of different financing practices, such as hedge, speculative, and Ponzi financing, is given in Minsky (1986). Hedge finance is a situation where operating cash flow can service all payment obligations associated with the financing. Speculative finance involves situations where operating cash flow supports interest payments but not repayment of principal. Ponzi finance describes a situation where operating cash flow is insuffiCient to cover either principal or interest payments, which can be financed only via an increase in liabilities, thus by a new inflow of funds.

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http://hdl.handle.net/10453/14359