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

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

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