An alternative interest rate term structure model

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Show simple item record Platen, E 2009-12-21T02:37:56Z 2005-09
dc.identifier.citation International Journal of Theoretical and Applied Finance, 2005, 8 (6), pp. 717 - 735
dc.identifier.issn 0219-0249
dc.identifier.other C1 en_US
dc.description.abstract This paper proposes an alternative approach to the modeling of the interest rate term structure. It suggests that the total market price for risk is an important factor that has to be modeled carefully. The growth optimal portfolio, which is characterized by this factor, is used as reference unit or benchmark for obtaining a consistent price system. Benchmarked derivative prices are taken as conditional expectations of future bench-marked prices under the real world probability measure. The inverse of the squared total market price for risk is modeled as a square root process and shown to influence the medium and long term forward rates. With constant parameters and constant short rate the model already generates a hump shaped mean for the forward rate curve and other empirical features typically observed. © World Scientific Publishing Company.
dc.language eng
dc.relation.isbasedon 10.1142/S0219024905003244
dc.title An alternative interest rate term structure model
dc.type Journal Article
dc.description.version Published
dc.parent International Journal of Theoretical and Applied Finance
dc.journal.volume 6
dc.journal.volume 8
dc.journal.number 6 en_US
dc.publocation Singapore en_US
dc.identifier.startpage 717 en_US
dc.identifier.endpage 735 en_US BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 150201 Finance
dc.personcode 970685
dc.percentage 100 en_US Finance en_US
dc.classification.type FOR-08 en_US
dc.description.keywords Fair pricing
dc.description.keywords Growth optimal portfolio
dc.description.keywords Interest rate term structure
dc.description.keywords Market price for risk
dc.description.keywords Square root process
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Science
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history Closed (ID: 3)

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