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A General Gaussian Interest Rate Model Consistent with the Current Term Structure
Author
Source
ISRN Probability and Statistics
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-09-05
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
We describe an extension of Gaussian interest rate models studied in literature.
In our model, the instantaneous spot rate r is the sum of several correlated stochastic processes plus a deterministic function.
We assume that each of these processes has a Gaussian distribution with time-dependent volatility.
The deterministic function is given by an exact fitting to observed term structure.
We test the model through various numeric experiments about the goodness of fit to European swaptions prices quoted in the market.
We also show some critical issues on calibration of the model to the market data after the credit crisis of 2007.
American Psychological Association (APA)
Di Francesco, Marco. 2012. A General Gaussian Interest Rate Model Consistent with the Current Term Structure. ISRN Probability and Statistics،Vol. 2012, no. 2012, pp.1-16.
https://search.emarefa.net/detail/BIM-489414
Modern Language Association (MLA)
Di Francesco, Marco. A General Gaussian Interest Rate Model Consistent with the Current Term Structure. ISRN Probability and Statistics No. 2012 (2012), pp.1-16.
https://search.emarefa.net/detail/BIM-489414
American Medical Association (AMA)
Di Francesco, Marco. A General Gaussian Interest Rate Model Consistent with the Current Term Structure. ISRN Probability and Statistics. 2012. Vol. 2012, no. 2012, pp.1-16.
https://search.emarefa.net/detail/BIM-489414
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-489414