Modelling Interest Rate Dynamics in a Corridor with Jump Processes
Preprint
- 1 January 1998
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
A simulated maximum likelihood (SML) estimator is derived in order to estimate a jump-diffusion model of interest rates, which takes explicitly into account theKeywords
This publication has 9 references indexed in Scilit:
- Poisson-Guassian Processes and the Bond MarketsPublished by National Bureau of Economic Research ,1998
- Towards a general theory of bond marketsFinance and Stochastics, 1997
- How Auctions Reveal Information: A Case Study on German REPO RatesJournal of Money, Credit and Banking, 1997
- What Does the Bundesbank Target?Published by National Bureau of Economic Research ,1996
- Exact solutions for bond and option prices with systematic jump riskReview of Derivatives Research, 1996
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims ValuationEconometrica, 1992
- Jump‐Diffusion Processes and the Term Structure of Interest RatesThe Journal of Finance, 1988
- A Theory of the Term Structure of Interest RatesEconometrica, 1985
- Option pricing when underlying stock returns are discontinuousJournal of Financial Economics, 1976