An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options
| Autor(a) principal: | |
|---|---|
| Data de Publicação: | 1999 |
| Tipo de documento: | Artigo |
| Idioma: | eng |
| Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
| Texto Completo: | http://hdl.handle.net/10438/12110 |
Resumo: | Our main goal is to investigate the question of which interest-rate options valuation models are better suited to support the management of interest-rate risk. We use the German market to test seven spot-rate and forward-rate models with one and two factors for interest-rate warrants for the period from 1990 to 1993. We identify a one-factor forward-rate model and two spot-rate models with two faetors that are not significant1y outperformed by any of the other four models. Further rankings are possible if additional cri teria are applied. |
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Buhler, WolfgangEscolas::EPGEFGV2014-10-15T12:31:43Z2014-10-15T12:31:43Z1999-08-12http://hdl.handle.net/10438/12110Our main goal is to investigate the question of which interest-rate options valuation models are better suited to support the management of interest-rate risk. We use the German market to test seven spot-rate and forward-rate models with one and two factors for interest-rate warrants for the period from 1990 to 1993. We identify a one-factor forward-rate model and two spot-rate models with two faetors that are not significant1y outperformed by any of the other four models. Further rankings are possible if additional cri teria are applied.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisas econômica da EPGETodo 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/openAccessAn empirical comparison of forward-rate and spot-rate models for valuing interest-rate optionsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaTaxas de jurosreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000089378.pdf000089378.pdfapplication/pdf1653242https://repositorio.fgv.br/bitstreams/d36b8a7f-76cd-430f-86ba-f6d1767d1acb/download1d3634706effb43756ccd66c70ef5cceMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/1fde079d-2f2b-427e-8330-0b6abbe3fa37/downloaddfb340242cced38a6cca06c627998fa1MD52TEXT000089378.pdf.txt000089378.pdf.txtExtracted 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An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options |
| title |
An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options |
| spellingShingle |
An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options Buhler, Wolfgang Economia Taxas de juros |
| title_short |
An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options |
| title_full |
An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options |
| title_fullStr |
An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options |
| title_full_unstemmed |
An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options |
| title_sort |
An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options |
| author |
Buhler, Wolfgang |
| author_facet |
Buhler, Wolfgang |
| 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 |
Buhler, Wolfgang |
| dc.subject.area.por.fl_str_mv |
Economia |
| topic |
Economia Taxas de juros |
| dc.subject.bibliodata.por.fl_str_mv |
Taxas de juros |
| description |
Our main goal is to investigate the question of which interest-rate options valuation models are better suited to support the management of interest-rate risk. We use the German market to test seven spot-rate and forward-rate models with one and two factors for interest-rate warrants for the period from 1990 to 1993. We identify a one-factor forward-rate model and two spot-rate models with two faetors that are not significant1y outperformed by any of the other four models. Further rankings are possible if additional cri teria are applied. |
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1999 |
| dc.date.issued.fl_str_mv |
1999-08-12 |
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2014-10-15T12:31:43Z |
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2014-10-15T12:31:43Z |
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info:eu-repo/semantics/publishedVersion |
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info:eu-repo/semantics/article |
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article |
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http://hdl.handle.net/10438/12110 |
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eng |
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Seminários de pesquisas econômica da EPGE |
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openAccess |
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Escola de Pós-Graduação em Economia da FGV |
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Escola de Pós-Graduação em Economia da FGV |
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