Efficient Factor Models For Yield Curve Dynamics

DOI10.1080/10920277.2004.10596173MaRDI QIDQ5715999zbMATH OpenOpenAlexFDO

Authors Yong Yao

Publication date 6 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2004.10596173

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• A survey of stochastic continuous time models of the term structure of interest rates
• A theory of the term structure of interest rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 1086780 (Why is no real title available?)
• scientific article; zbMATH DE number 1122180 (Why is no real title available?)
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• Technical Note—An Inequality for the Variance of Waiting Time under a General Queuing Discipline
• Term structure modeling and asymptotic long rate
• The Market Model of Interest Rate Dynamics
• The pricing of options and corporate liabilities
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• WHEN IS THE SHORT RATE MARKOVIAN?

Cited in

(4)

• Consistent fitting of one-factor models to interest rate data.
• Parameter Estimation of Parabolic Type Factor Model and Empirical Study of US Treasury Bonds
• Discount models
• Functional dynamic factor models with application to yield curve forecasting

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