Nonparametric pricing of interest rate derivative securities
We propose a nonparametric estimation procedure for continuous- time stochastic models. Because prices of derivative securities depend crucially on the form of the instantaneous volatility of the underlying process, we leave the volatility function unrestricted and estimate it nonparametrically. Onl...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
1995
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
5345 |
| Schlagworte: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV010646850 | ||
| 003 | DE-604 | ||
| 005 | 19960305 | ||
| 007 | t| | ||
| 008 | 960305s1995 xxud||| |||| 00||| eng d | ||
| 035 | |a (OCoLC)33946227 | ||
| 035 | |a (DE-599)BVBBV010646850 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-19 |a DE-521 |a DE-11 | ||
| 050 | 0 | |a HB1 | |
| 084 | |a QB 910 |0 (DE-625)141231: |2 rvk | ||
| 100 | 1 | |a Aït-Sahalia, Yacine |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Nonparametric pricing of interest rate derivative securities |c Yacine Aït-Sahalia |
| 264 | 1 | |a Cambridge, Mass. |c 1995 | |
| 300 | |a 39 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 5345 | |
| 520 | |a We propose a nonparametric estimation procedure for continuous- time stochastic models. Because prices of derivative securities depend crucially on the form of the instantaneous volatility of the underlying process, we leave the volatility function unrestricted and estimate it nonparametrically. Only discrete data are used but the estimation procedure still does not rely on replacing the continuous- time model by some discrete approximation. Instead the drift and volatility functions are forced to match the densities of the process. We estimate the stochastic differential equation followed by the short term interest rate and compute nonparametric prices for bonds and bond options. | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Derivative securities |x Mathematical models | |
| 650 | 4 | |a Fixed-income securities |x Valuation |x Mathematical models | |
| 650 | 4 | |a Interest rates |x Mathematical models | |
| 650 | 4 | |a Securities |x Valuation |x Mathematical models | |
| 830 | 0 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 5345 |w (DE-604)BV002801238 |9 5345 | |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-007104680 | |
Datensatz im Suchindex
| DE-BY-UBM_katkey | 3359494 |
|---|---|
| DE-BY-UBM_media_number | 99994496991 |
| _version_ | 1823053484054806528 |
| any_adam_object | |
| author | Aït-Sahalia, Yacine |
| author_facet | Aït-Sahalia, Yacine |
| author_role | aut |
| author_sort | Aït-Sahalia, Yacine |
| author_variant | y a s yas |
| building | Verbundindex |
| bvnumber | BV010646850 |
| callnumber-first | H - Social Science |
| callnumber-label | HB1 |
| callnumber-raw | HB1 |
| callnumber-search | HB1 |
| callnumber-sort | HB 11 |
| callnumber-subject | HB - Economic Theory and Demography |
| classification_rvk | QB 910 |
| ctrlnum | (OCoLC)33946227 (DE-599)BVBBV010646850 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02017nam a2200373 cb4500</leader><controlfield tag="001">BV010646850</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">19960305 </controlfield><controlfield tag="007">t|</controlfield><controlfield tag="008">960305s1995 xxud||| |||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)33946227</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV010646850</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-19</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-11</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HB1</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QB 910</subfield><subfield code="0">(DE-625)141231:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Aït-Sahalia, Yacine</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Nonparametric pricing of interest rate derivative securities</subfield><subfield code="c">Yacine Aït-Sahalia</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge, Mass.</subfield><subfield code="c">1995</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">39 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">5345</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">We propose a nonparametric estimation procedure for continuous- time stochastic models. Because prices of derivative securities depend crucially on the form of the instantaneous volatility of the underlying process, we leave the volatility function unrestricted and estimate it nonparametrically. Only discrete data are used but the estimation procedure still does not rely on replacing the continuous- time model by some discrete approximation. Instead the drift and volatility functions are forced to match the densities of the process. We estimate the stochastic differential equation followed by the short term interest rate and compute nonparametric prices for bonds and bond options.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Derivative securities</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Fixed-income securities</subfield><subfield code="x">Valuation</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Interest rates</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Securities</subfield><subfield code="x">Valuation</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">5345</subfield><subfield code="w">(DE-604)BV002801238</subfield><subfield code="9">5345</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-007104680</subfield></datafield></record></collection> |
| id | DE-604.BV010646850 |
| illustrated | Illustrated |
| indexdate | 2025-02-03T17:14:18Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007104680 |
| oclc_num | 33946227 |
| open_access_boolean | |
| owner | DE-19 DE-BY-UBM DE-521 DE-11 |
| owner_facet | DE-19 DE-BY-UBM DE-521 DE-11 |
| physical | 39 S. graph. Darst. |
| publishDate | 1995 |
| publishDateSearch | 1995 |
| publishDateSort | 1995 |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spellingShingle | Aït-Sahalia, Yacine Nonparametric pricing of interest rate derivative securities National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Mathematisches Modell Derivative securities Mathematical models Fixed-income securities Valuation Mathematical models Interest rates Mathematical models Securities Valuation Mathematical models |
| title | Nonparametric pricing of interest rate derivative securities |
| title_auth | Nonparametric pricing of interest rate derivative securities |
| title_exact_search | Nonparametric pricing of interest rate derivative securities |
| title_full | Nonparametric pricing of interest rate derivative securities Yacine Aït-Sahalia |
| title_fullStr | Nonparametric pricing of interest rate derivative securities Yacine Aït-Sahalia |
| title_full_unstemmed | Nonparametric pricing of interest rate derivative securities Yacine Aït-Sahalia |
| title_short | Nonparametric pricing of interest rate derivative securities |
| title_sort | nonparametric pricing of interest rate derivative securities |
| topic | Mathematisches Modell Derivative securities Mathematical models Fixed-income securities Valuation Mathematical models Interest rates Mathematical models Securities Valuation Mathematical models |
| topic_facet | Mathematisches Modell Derivative securities Mathematical models Fixed-income securities Valuation Mathematical models Interest rates Mathematical models Securities Valuation Mathematical models |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT aitsahaliayacine nonparametricpricingofinterestratederivativesecurities |