General quadratic term structures of bond, futures and forward prices
Autor(a) principal: | |
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Data de Publicação: | 2004 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/24274 |
Resumo: | For finite dimensional factor models, the paper studies general quadratic term structures. These term structures include as special cases the affine term structures and the Gaussian quadratic term structures, previously studied in the literature. We show, however, that there are other, non-Gaussian, quadratic term structures and derive sufficient conditions for the existence of these general quadratic term structures for bond, futures and forward prices. As forward prices are martingales under the T-forward measure, their term structure equation depends on properties of bond prices’ term structure. We exploit the connection with the bond prices term structure and show that even in quadratic short rate settings we can have affine term structures for forward prices. Finally, we show how the study of futures prices is naturally embedded in a study of forward prices and show that the difference between the two prices have to do with the correlation between bond prices and the price process of the underlying to the forward contract and this difference may be deterministic in some (non-trivial) stochastic interest rate settings.. |
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General quadratic term structures of bond, futures and forward pricesTerm StructureBond PriceFutures PriceForward PriceAffine Term StructureQuadratic Term StructureFor finite dimensional factor models, the paper studies general quadratic term structures. These term structures include as special cases the affine term structures and the Gaussian quadratic term structures, previously studied in the literature. We show, however, that there are other, non-Gaussian, quadratic term structures and derive sufficient conditions for the existence of these general quadratic term structures for bond, futures and forward prices. As forward prices are martingales under the T-forward measure, their term structure equation depends on properties of bond prices’ term structure. We exploit the connection with the bond prices term structure and show that even in quadratic short rate settings we can have affine term structures for forward prices. Finally, we show how the study of futures prices is naturally embedded in a study of forward prices and show that the difference between the two prices have to do with the correlation between bond prices and the price process of the underlying to the forward contract and this difference may be deterministic in some (non-trivial) stochastic interest rate settings..Stockholm School of Economics - Department of FinanceRepositório da Universidade de LisboaGaspar, Raquel M.2022-05-10T15:47:52Z2004-032004-03-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/24274engGaspar, Raquel M. .2004. “General quadratic term structures of bond, futures and forward prices”. Stockholm School of Economics. Department of Finance. SSE/EFI - Working paper Series in Economics and Finance No 559/ 2004info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:53:55Zoai:www.repository.utl.pt:10400.5/24274Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:08:21.796724Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
General quadratic term structures of bond, futures and forward prices |
title |
General quadratic term structures of bond, futures and forward prices |
spellingShingle |
General quadratic term structures of bond, futures and forward prices Gaspar, Raquel M. Term Structure Bond Price Futures Price Forward Price Affine Term Structure Quadratic Term Structure |
title_short |
General quadratic term structures of bond, futures and forward prices |
title_full |
General quadratic term structures of bond, futures and forward prices |
title_fullStr |
General quadratic term structures of bond, futures and forward prices |
title_full_unstemmed |
General quadratic term structures of bond, futures and forward prices |
title_sort |
General quadratic term structures of bond, futures and forward prices |
author |
Gaspar, Raquel M. |
author_facet |
Gaspar, Raquel M. |
author_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Gaspar, Raquel M. |
dc.subject.por.fl_str_mv |
Term Structure Bond Price Futures Price Forward Price Affine Term Structure Quadratic Term Structure |
topic |
Term Structure Bond Price Futures Price Forward Price Affine Term Structure Quadratic Term Structure |
description |
For finite dimensional factor models, the paper studies general quadratic term structures. These term structures include as special cases the affine term structures and the Gaussian quadratic term structures, previously studied in the literature. We show, however, that there are other, non-Gaussian, quadratic term structures and derive sufficient conditions for the existence of these general quadratic term structures for bond, futures and forward prices. As forward prices are martingales under the T-forward measure, their term structure equation depends on properties of bond prices’ term structure. We exploit the connection with the bond prices term structure and show that even in quadratic short rate settings we can have affine term structures for forward prices. Finally, we show how the study of futures prices is naturally embedded in a study of forward prices and show that the difference between the two prices have to do with the correlation between bond prices and the price process of the underlying to the forward contract and this difference may be deterministic in some (non-trivial) stochastic interest rate settings.. |
publishDate |
2004 |
dc.date.none.fl_str_mv |
2004-03 2004-03-01T00:00:00Z 2022-05-10T15:47:52Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/24274 |
url |
http://hdl.handle.net/10400.5/24274 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Gaspar, Raquel M. .2004. “General quadratic term structures of bond, futures and forward prices”. Stockholm School of Economics. Department of Finance. SSE/EFI - Working paper Series in Economics and Finance No 559/ 2004 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Stockholm School of Economics - Department of Finance |
publisher.none.fl_str_mv |
Stockholm School of Economics - Department of Finance |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799131177651535872 |