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Fed fund target model in presence of unspanned stochastic volatility.

Lai, Kwok Tung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 64-66). / Abstracts in English and Chinese. / Abstract --- p.i / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.9 / Chapter 3 --- Preliminary Analysis of Data --- p.17 / Chapter 3.1 --- Data --- p.17 / Chapter 3.2 --- Preliminary Analysis of Unspanned Stochastic Volatility --- p.20 / Chapter 4 --- A Jump-Diffusion Model for Federal Funds Target Rate --- p.23 / Chapter 4.1 --- Model Specification --- p.23 / Chapter 4.2 --- Estimation Result --- p.31 / Chapter 5 --- Pricing and Hedging Performance of Interest Rate Derivatives --- p.34 / Chapter 5.1 --- Pricing Performance of Interest Rate Cap --- p.34 / Chapter 5.2 --- Hedging Performance of Interest Rate Caplet --- p.38 / Chapter 5.3 --- Hedging Performance of Interest Rate Straddle --- p.42 / Chapter 6 --- Conclusion --- p.49 / Figures --- p.51 / Tables --- p.55 / Bibliography --- p.64

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326308
Date January 2008
ContributorsLai, Kwok Tung., Chinese University of Hong Kong Graduate School. Division of Business Administration.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, vi, 66 leaves : ill. ; 30 cm.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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