R. Cont, Modeling term structure dynamics : an infinite-dimensional approach, Preprint 1999. Home/Search Document Details and Download
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A Filtering Approach to Pricing in Multifactor Term.. - Gombani, Runggaldier (2001) (1 citation) (Correct)
....3, can be justified as e.g. in [2] 3] 13] on the basis of model misspecification, errors of observation (spread) mispricing and thin trading. A further, general argument in favour of considering real observed prices as differing from the theoretical arbitrage free values is that (see e.g. [8] and some of the references therein) the constraints imposed by absence of arbitrage are often too strong to reproduce faithfully real observed prices. Finally, since the term structure has to be viewed as infinite dimensional, for any number of explanatory factors there will always be some ....
R. Cont, Modeling term structure dynamics : an infinite-dimensional approach, Preprint 1999.
An Empirical Investigation of the Forward Interest Rate Term .. - Matacz, Bouchaud (1999) (Correct)
....f(t; which tends to smooth out short wavelengths deformations of the frc. This term is in general absent in arbitrage free models, but its presence (allowed, for example, by the existence of transaction costs) totally changes the nature of the equation, and has many interesting consequences [4, 5]. Therefore, the search for no arbitrage models might be much too strong a constraint to represent faithfully the empirical behaviour of interest rates. The aim of the present paper is two fold. First of all, we investigate the empirical behaviour of the frc of five different currencies (usd, dem, ....
....be emphasized that these results do not constitute a statistical validation of the drift term in, Eq. 4.17) for the deformation noise. The mean reverting nature of this model was proposed in relation to the existence of a second order derivative term in the evolution of the frc, discussed in [4, 5]. The specific results obtained for j are only meaningful if the mean reversion assumption is correct. We have performed an identical analysis using the ou model for the anticipated trend. We find the same optimal timescales as for the fw model. We find that the minimal errors for the gbp and aud ....
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R. Cont, "Modeling Term Structure Dynamics: An Infinite Dimensional Approach", to appear in I.J.T.A.F. (1999). Available at: http://www.cmap.polytechnique.fr¸rama/
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R. Cont, Modeling term structure dynamics : an infinite-dimensional approach, Preprint 1999.
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