Fed fund target model in presence of unspanned stochastic volatility.

Description

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

Links & Downloads

1. cuhk:326308
2. http://library.cuhk.edu.hk/record=b5893670
3. http://repository.lib.cuhk.edu.hk/en/item/cuhk-326308

Tags

Derivative securities--Prices

Fixed-income securities--Prices

Stochastic processes

Additional Fields

Identifer	oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326308
Date	January 2008
Contributors	Lai, Kwok Tung., Chinese University of Hong Kong Graduate School. Division of Business Administration.
Source Sets	The Chinese University of Hong Kong
Language	English, Chinese
Detected Language	English
Type	Text, bibliography
Format	print, vi, 66 leaves : ill. ; 30 cm.
Rights	Use 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/)