On the term structure of Interbank interest rates: jump-diffusion processes and option pricing

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dc.contributor.author Moreno, Manuel
dc.contributor.author Peña, Juan Ignacio
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2010-03-01T10:45:11Z
dc.date.available 2010-03-01T10:45:11Z
dc.date.issued 1995-10
dc.identifier.uri http://hdl.handle.net/10016/7074
dc.description.abstract In this paper we study the dynamic behavior of the term structure of Interbank interest rates and the pricing of options on interest rate sensitive securities. We posit a generalized single factor model with jumps to take into account external influences in the market. Daily data is used to test for jump effects. Qualitative examination of the linkage between Monetary Authorities interventions and jumps are studied. Pricing results suggests a systematic underpricing in bonds and call options if the jump component is not inc1uded. However, the pricing of put options on bonds presents indeterminacies.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 95-46-06
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title On the term structure of Interbank interest rates: jump-diffusion processes and option pricing
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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