Bond pricing when the short term interest rate follows a threshold process

Please use this identifier to cite or link to this item: http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19634

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DC Field	Value	Language
dc.creator	Lemke, Wolfgang	-
dc.creator	Archontakis, Theofanis	-
dc.date	2006	-
dc.date.accessioned	2013-10-16T07:06:01Z	-
dc.date.available	2013-10-16T07:06:01Z	-
dc.date.issued	2013-10-16	-
dc.identifier	http://hdl.handle.net/10419/19634	-
dc.identifier	ppn:510392393	-
dc.identifier	RePEc:zbw:bubdp1:4243	-
dc.identifier.uri	http://koha.mediu.edu.my:8181/xmlui/handle/10419/19634	-
dc.description	Using a stochastic discount factor approach, we derive the exact solution for arbitrage-free bond yields for the case that the short-term interest rate follows a threshold process with the intercept switching endogenously. The yield functions, mapping the one-month rate into n-period yields, respectively. This is in contrast to linear short-rate process which imply an affine yield function. The intervals for which convexity or concavity prevails increase with time to maturity.	-
dc.language	eng	-
dc.relation	Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2006,06	-
dc.rights	http://www.econstor.eu/dspace/Nutzungsbedingungen	-
dc.subject	C63	-
dc.subject	G12	-
dc.subject	E43	-
dc.subject	ddc:330	-
dc.subject	Threshold process	-
dc.subject	term structure of interest rates	-
dc.subject	nonlinear yield function	-
dc.subject	Zinsstruktur	-
dc.subject	Arbitrage Pricing	-
dc.subject	Zins	-
dc.subject	Wertpapieranalyse	-
dc.subject	Theorie	-
dc.title	Bond pricing when the short term interest rate follows a threshold process	-
dc.type	doc-type:workingPaper	-
Appears in Collections:	EconStor

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