Estimating the term structure of volatility and fixed income derivative pricing

Detalhes bibliográficos
Autor(a) principal: Issler, João Victor
Data de Publicação: 1995
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/620
Resumo: Estimating the parameters of the instantaneous spot interest rate process is of crucial importance for pricing fixed income derivative securities. This paper presents an estimation for the parameters of the Gaussian interest rate model for pricing fixed income derivatives based on the term structure of volatility. We estimate the term structure of volatility for US treasury rates for the period 1983 - 1995, based on a history of yield curves. We estimate both conditional and first differences term structures of volatility and subsequently estimate the implied parameters of the Gaussian model with non-linear least squares estimation. Results for bond options illustrate the effects of differing parameters in pricing.
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spelling Issler, João VictorEscolas::EPGEFGV2008-05-13T15:28:17Z2008-05-13T15:28:17Z1995-100104-8910http://hdl.handle.net/10438/620Estimating the parameters of the instantaneous spot interest rate process is of crucial importance for pricing fixed income derivative securities. This paper presents an estimation for the parameters of the Gaussian interest rate model for pricing fixed income derivatives based on the term structure of volatility. We estimate the term structure of volatility for US treasury rates for the period 1983 - 1995, based on a history of yield curves. We estimate both conditional and first differences term structures of volatility and subsequently estimate the implied parameters of the Gaussian model with non-linear least squares estimation. Results for bond options illustrate the effects of differing parameters in pricing.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;272Todo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessEstimating the term structure of volatility and fixed income derivative pricinginfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaTaxas de juros - Modelos matemáticosEconomiaTaxas de juros - Modelos matemáticosreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000064610.pdf000064610.pdfapplication/pdf736064https://repositorio.fgv.br/bitstreams/bfc6685a-5759-4795-a9a6-d6f9bbf831bc/downloadcc883b69cc4daee1cfdd16b964141bc3MD51TEXT000064610.pdf.txt000064610.pdf.txtExtracted texttext/plain34985https://repositorio.fgv.br/bitstreams/b9bc8afa-503e-40da-8392-ec9fe66ab19c/download2fe1a0123a61b9e69708b219f46b58ddMD56THUMBNAIL000064610.pdf.jpg000064610.pdf.jpgGenerated Thumbnailimage/jpeg2396https://repositorio.fgv.br/bitstreams/6402fc19-05c5-411d-8e3e-11d7eafd326d/download9bce2f1f75ec76c054e13e3cf2790ecaMD5710438/6202023-11-09 19:20:02.108open.accessoai:repositorio.fgv.br:10438/620https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T19:20:02Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv Estimating the term structure of volatility and fixed income derivative pricing
title Estimating the term structure of volatility and fixed income derivative pricing
spellingShingle Estimating the term structure of volatility and fixed income derivative pricing
Issler, João Victor
Economia
Taxas de juros - Modelos matemáticos
Economia
Taxas de juros - Modelos matemáticos
title_short Estimating the term structure of volatility and fixed income derivative pricing
title_full Estimating the term structure of volatility and fixed income derivative pricing
title_fullStr Estimating the term structure of volatility and fixed income derivative pricing
title_full_unstemmed Estimating the term structure of volatility and fixed income derivative pricing
title_sort Estimating the term structure of volatility and fixed income derivative pricing
author Issler, João Victor
author_facet Issler, João Victor
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Issler, João Victor
dc.subject.area.por.fl_str_mv Economia
topic Economia
Taxas de juros - Modelos matemáticos
Economia
Taxas de juros - Modelos matemáticos
dc.subject.bibliodata.por.fl_str_mv Taxas de juros - Modelos matemáticos
Economia
Taxas de juros - Modelos matemáticos
description Estimating the parameters of the instantaneous spot interest rate process is of crucial importance for pricing fixed income derivative securities. This paper presents an estimation for the parameters of the Gaussian interest rate model for pricing fixed income derivatives based on the term structure of volatility. We estimate the term structure of volatility for US treasury rates for the period 1983 - 1995, based on a history of yield curves. We estimate both conditional and first differences term structures of volatility and subsequently estimate the implied parameters of the Gaussian model with non-linear least squares estimation. Results for bond options illustrate the effects of differing parameters in pricing.
publishDate 1995
dc.date.issued.fl_str_mv 1995-10
dc.date.accessioned.fl_str_mv 2008-05-13T15:28:17Z
dc.date.available.fl_str_mv 2008-05-13T15:28:17Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/620
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
url http://hdl.handle.net/10438/620
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;272
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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