The Role of the Risk-Neutral Jump Size Distribution in Single-Factor Interest Rate Models
Joint Authors
Gómez-Valle, L.
Martínez-Rodríguez, J.
Source
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-08-05
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
We obtain a result that relates the risk-neutral jump size of interest rates with yield curve data.
This function is unobservable; therefore, this result opens a way to estimate the jump size directly from data in the markets together with the risk-neutral drift and jump intensity estimations.
Then, we investigate the finite sample performance of this approach with a test problem.
Moreover, we analyze the effect of estimating the risk-neutral jump size instead of assuming that it is artificially absorbed by the jump intensity, as usual in the interest rate literature.
Finally, an application to US Treasury Bill data is also illustrated.
American Psychological Association (APA)
Gómez-Valle, L.& Martínez-Rodríguez, J.. 2015. The Role of the Risk-Neutral Jump Size Distribution in Single-Factor Interest Rate Models. Abstract and Applied Analysis،Vol. 2015, no. 2015, pp.1-8.
https://search.emarefa.net/detail/BIM-1052119
Modern Language Association (MLA)
Gómez-Valle, L.& Martínez-Rodríguez, J.. The Role of the Risk-Neutral Jump Size Distribution in Single-Factor Interest Rate Models. Abstract and Applied Analysis No. 2015 (2015), pp.1-8.
https://search.emarefa.net/detail/BIM-1052119
American Medical Association (AMA)
Gómez-Valle, L.& Martínez-Rodríguez, J.. The Role of the Risk-Neutral Jump Size Distribution in Single-Factor Interest Rate Models. Abstract and Applied Analysis. 2015. Vol. 2015, no. 2015, pp.1-8.
https://search.emarefa.net/detail/BIM-1052119
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1052119