Vasicek, O.A. (1977) An equilibrium characterization of the term structure. J. Fin. Econ. 5, 177-188. Home/Search Document Not in Database Summary Related Articles Check |
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Pricing the Risks of default - Madan (2000) (19 citations) (Correct)
....the problem of no short maturity credit spreads. Furthermore by allowing for stochastic interest rates one may better calibrate to existing term structures of interest rates. The model supposes that asset values V (t) follow a geometric Brownian motion while interest rates r(t) follow a Vasicek [15] process with movements that are correlated with the stock. Specically it 8 is supposed that dV = rV dt VdW V (t) dr = r) dt dW r (t) dW V dW r = dt At the rst passage time of V to K the default threshold, we have a default in which the recovery level is some constant write down of ....
Vasicek, O, (1977), \An equilibrium characterization of the term structure," The Journal of Financial Economics,5, 177-188. 21
Risk Management with Extreme Value Theory - Klüppelberg (2002) (Correct)
....section except the generalised Cox Ingersoll Ross model with = 1 satisfy condition (3.8) of Lemma 3.9, hence the Poisson approximation of the upcrossings is also explicitly given for u t = a t x b t and = ln Q(x) where Q is either or . Example 3.10. The Vasicek model (Vasicek [87]) In this model the di usion coecient is (x) 0. The solution of the SDE (3.1) with X 0 = x is given by X t = d(t s) dW s ; t 0 : 18 1 0 1 2 3 4 Figure 3.11. Simulated sample path of the Vasicek model (with parameters c = d = 1) and corresponding normalising constants b t ....
Vasicek, O.A. (1977) An equilibrium characterization of the term structure. J. Fin. Econ. 5, 177-188.
AREUEA Journal, Vol. 13, No. 3, 1985 - Pricing Life-Of-Loan Rate (Correct)
....ranges of all the key parameters determining the value of rate caps and then present, describe and interpret our simulation results. MODEL SPECIFICATION General Assumptions The general setting of our model for pricing any default free contract is described by four assumptions [2] 3] 5] [8]: A.1 The spot rate of interest (r) follows a mean reverting process: dr = k( r)dt o(r)dz, 1) where is the steady state mean, k is the speed of adjustment, o(r) is the standard deviation of the spot rate, and dz is a Wiener process. A.2 The value of a default free contract is a function ....
O. Vasicek. An Equilibrium Characterization of the Term Structure. Journal of Financial Economics 5: 177-188, 1977.
Hedging Level Risk for a Firm - Wojakowski (Correct)
....The parameter # measures the decision maker s degree of impatience. Given that we are interested here in the optimal hedge and not in the optimal distribution of the dividend in time, we will assume r = #. In the case r the distributed amount would clearly be a function of time. See Vasicek [15]. Similar modelisations of the exchange rate behavior could also be implemented. If the volatility is a deterministic function of the exchange rate, and such that #(x) # # x, one obtains a square root process, which has been used for example by Cox, Ingersoll and Ross [5] to model the evolution ....
O. Vasicek, An equilibrium characterization of the term structure, Journal of Financial Economics, 5 (1977), pp. 177--188.
Financial Model Calibration Using Consistency Hints - Abu-Mostafa (2001) (Correct)
....brief mathematical derivations for the main functions of the interest rate model we use. II. THE INTEREST RATE MODEL Interest rate models are among the more sophisticated financial models, and their calibration is quite challenging. We are going to use the Vasicek model for interest rates [14,18] as a paradigm for employing consistency hints in the calibration of financial models. This concrete example will enable us to do a full derivation of the consistency hint equations and to illustrate the numerical results using real life data. It is fairly straightforward to adapt our method to ....
O. Vasicek, "An equilibrium characterization of term structure," Journal of Financial Economics, vol. 5, pp. 177-188, November 1977.
A Re-examination of Stanton's Diffusion Estimations with.. - Fan, Zhang (Correct)
....GBM : dX t = X t dt X t dW t (1.2) by Osborne (1959) for modeling stock price, and VAS : dX t = 0 1 X t )dt dW t ; 1.3) CIR SR : dX t = 0 1 X t )dt p X t dW t ; 1.4) CIR VR : dX t = X 3=2 t dW t ; 1.5) CKLS : dX t = 0 1 X t )dt X t dW t ; 1. 6) by Vasicek (1977), Cox, Ingersoll, and Ross (1985) Cox, Ingersoll, and Ross (1980) and Chan, Karolyi, Longsta and Sanders (1992) for modeling interest rate dynamics, respectively. Current researches including parametric approaches to estimate ( and ( have been surveyed in Stanton (1997) To relax model ....
Vasicek, O.A. (1977), \An Equilibrium Characterization of the Term Structure," Journal of Financial Economics 5, 177-188.
Time-dependent Diffusion Models for Term Structure Dynamics and .. - Fan, Jiang (Correct)
....are directly related to consumer spending, corporate earnings, asset pricing, in ation and overall economy. See Mishkin (1997) for further discussions. Many useful short rate models have been proposed to explain term structure dynamics and other issues in nance. See for example Merton (1973) Vasicek (1977), Dothan (1978) Brennan and Schwartz (1979, 1980) Cox, Ingersoll and Ross (1980, 1985) Constantinides and Ingersoll (1984) Schaefer and Schwartz (1984) Feldman (1989) Longstall (1989) Hull and White (1990) Black and Karasinki (1991) Longsta and Schwartz (1992) Chan, Karolyi, Longsta ....
.... process fX t g respectively (Wong 1970, and Due 1996) Note that (t; X t ) lim 4 0 1 4 E(X t 4 X t jX t ) 2 (t; X t ) lim 4 0 1 4 E[ X t 4 X t ) 2 jX t ] 2) Examples of (1) include geometric Brownian motion (GBM) for stock prices and interest rate models of Merton (1970) Vasicek (VAS) 1977), Chan, Karolyi, Longsta and Sanders (CKLS) 1992) among others. Di erent models postulate di erent forms on and . For instance, GBM: dX t = X t dt X t dW t ; VAS: dX t = 0 1 X t ) dt dW t ; CIR: dX t = 0 1 X t ) dt p X t dW t ; CKLS: dX t = 0 1 X t ) dt ....
Vasicek, Oldrich, 1977, An equilibrium characterization of the term structure, Journal of Financial Economics 5, 177-188.
Investigating the Sources of Default Risk: Lessons from.. - Bakshi, Madan, Zhang (2001) (Correct)
....asset pricing results on the time variation of the risk premia in the #nancial markets. Note that the one factor model of interest rates is nested within the two factor model of interest rate outlined in #12# #13#. Setting # z = # z = 0 and #xing z to be a constant, we obtain the one factor #Vasicek #1977## model of interest rates: dr#t#=# r #z#r#t## dt # r d r #t#. Imposing appropriate restrictions on the parameter vector in #27# #28#, we can similarly infer the parameters 16 of the one factor model. In Panel A and Panel B of Table 3, we present the parameter estimates and compare the ....
Vasicek, O., 1977, #An equilibrium characterization of the term structure," The Journal of Financial Economics 5, 177-188.
The Reduction of Forward Rate Dependent Volatility.. - Bhar, Chiarella.. (2000) (Correct)
....more underlying factors, usually interest rates. Bond prices are assumed to be functions of these driving stochastic processes. The prices of contingent claims are then derived by imposing the condition that there are no arbitrage opportunities in the economy between bonds of different maturity. Vasicek s (1977) model is an example of a single factor no arbitrage model in which the whole term structure depends on a single stochastic variable or factor, in this case the short interest rate. It employs an arbitrage argument in relation to the expected return on bonds of differing maturity. The Brennan and ....
Vasicek, O. (1977), "An Equilibrium Characterization of the Term Structure", Journal of Financial Economics, 177-188.
Robustness of Gaussian Hedges and the Hedging of Fixed .. - Dudenhausen, Schlögl, .. (Correct)
....hedge in the natural instruments. Identifying the natural hedge instruments for #xed income derivatives, we can apply the exchange option framework to the hedging of bond options as well as interest rate derivatives such as caps, #oors and swaptions, using Gaussian term structure models of the Vasicek #1977# type, or lognormal interest rate #market models such as Miltersen, Sandmann and Sondermann #1997#, Brace, Gatarek and Musiela #1997# or Jamshidian #1997#. By explicitly studying the hedging strategy,we arriveatavery straightforward proof of the El Karoui, Jeanblanc Picqu#e and Shreve #1995# and ....
....we have discussed the robustness of Gaussian hedges in general terms. Wegobeyond the Black Scholes framework usually considered in the literature on misspeci#cation to showhow these results can be applied to manyinterest rate derivatives. Gaussian short rate models. In one# and multifactor Vasicek #1977##type term structure models 2 , zero coupon bonds are lognormal assets. Thus, by assuming such a model the hedger can construct Gaussian hedges for options on zero coupon bonds. We denote the price at time t of a zero coupon bond with maturity T by B#t; T #. The payo# of a call option with ....
Vasicek, O. #1977#, An Equilibrium Characterization of the Term Structure, Journal of Financial Economics 5, 177#188.
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Vasicek, O.A. (1977) An equilibrium characterization of the term structure. J. Fin. Econ. 5, 177-188.
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O.A. Vasicek. An equilibrium characterization of the term structure. J. of Financial Economics, 5:177188, 1977.
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Vasicek, O. A., 1977. An Equilibrium Characterization of the Term Structure. Journal of Financial Economics 5, 177-188. 19
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Vasicek, Oldrich, 1977, "An Equilibrium Characterization of the Term Structure", Journal of Financial Economics 5, 177-188.
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Vasicek, O., "An Equilibrium Characterization of the Term Structure," Journal of Financial Economics, 5 (1977), 177--188. 22
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Vasicek, O.A. An equilibrium characterization of the term structure. Journal of Financial Economics, 5:177--188, 1977.
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Vasicek O. 1977 An Equilibrium Characterization of the Term Structure Journal of Financial Economics 5 p. 177-188.
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Vasicek O, (1977) `An Equilibrium Characterization of the Term Structure' Journal of Financial Economics, 5, 177-188 21
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O. Vasicek, An equilibrium characterization of the term structure, J. Finan. Econ. 5, 177-188 (1977).
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Vasicek, O. An equilibrium characterization of the term structure, 1977, Journal of Financial Economics, 5, 177--188.
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Vasicek, O.A. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5, 177-188.
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Vasicek, O., 1977, An Equilibrium Characterization of the Term Structure, Journal of Financial Economics 5, 177-188. 18 19
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Vasicek, O. (1977) "An Equilibrium Characterization of the Term Structure", Journal of Finance 5, 177-188.
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Finance 19, 425-42. Vasicek, O.A. (1977). An equilibrium characterization of the term structure. J. Financial Economics 5, 177-88.
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