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Interest Rate Manipulation Detection using Time Series Clustering Approach
Interest Rate Manipulation Detection Series Clustering Approach
2012/9/14
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, t...
Interest Rate Risk of Bond Prices on Macedonian Stock Exchange - Empirical Test of the Duration, Modified Duration and Convexity and Bonds Valuation
Treasury Bonds risk-free valuation intrinsic value duration, convexity
2012/9/14
This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determi...
Equivalence of interest rate models and lattice gases
Equivalence of interest rate models lattice gases Computational Finance
2012/4/28
We consider the class of short rate interest rate models for which the short rate is proportional to the exponential of a Gaussian Markov process x(t) in the terminal measure r(t) = a(t) exp(x(t)). Th...
Market, Interest Rate and Exchange Rate Risk Effects on Financial Stock Returns: A GARCH-M Approach
Exchange rate interest rate multivariate GARCH volatility
2010/9/7
In this paper we examine the sensitivity of financial sector stock returns to market, interest rate, and exchange rate risk in three financial sectors (Banking, Financial Services and Insurance) in 16...
Discrete-Time Interest Rate Modelling
Interest rates models pricing kernels financial time series Flesaker-Hughston models transversality condition
2010/11/2
This paper presents an axiomatic scheme for interest rate models in discrete time.
We take a pricing kernel approach, which builds in the arbitrage-free property and pro-
vides a link to equilibrium...
Abstract. Bernstein processes are Brownian diffusions that appear in Euclidean Quantum Mechanics. The consideration of the symmetries of the associated Hamilton-Jacobi-Bellman equation allows one to o...