Bibliographic Metadata

Title
The potential approach to the term structure of interest rates : theory and application / Andreas Magenschab
AuthorMagenschab, Andreas
CensorTeichmann, Josef
Published2008
DescriptionIV, 79 Bl. : zahlr. graph. Darst.
Institutional NoteWien, Techn. Univ., Dipl.-Arb., 2008
LanguageEnglish
Document typeThesis (Diplom)
Keywords (DE)Potential Theorie/ Resolvente/ Markow Kette/ Markow Prozess/ Zinskurve/ Zinsstruktur/ Zins/ Bond/ Anleihe
Keywords (EN)potential approach/ resolvent/ markov chain/ markov process/ yield curve/ term structure/ interest rates/ spot rate/ state price density/ zero bond
URNurn:nbn:at:at-ubtuw:1-29668 Persistent Identifier (URN)
Restriction-Information
 The work is publicly available
Files
The potential approach to the term structure of interest rates [1.67 mb]
Links
Reference
Classification
Abstract (German)

The main aim of this text is a new approach to the term structure of interest rates called the potential approach. The key element of this approach is to view the state-price density (a positive supermartingale) as the modelling primitive and to express the prices of derivaties directly in terms of this. In this framework prices of zero-bonds are expressed in terms of conditional expectations, which leads us to the concept of modeling with Markov processes. First the theory is presented and then used in a various number of simulations using a Markov process in continuous time with finite state-space and continuous state-space.

Abstract (English)

The main aim of this text is a new approach to the term structure of interest rates called the potential approach. The key element of this approach is to view the state-price density (a positive supermartingale) as the modelling primitive and to express the prices of derivaties directly in terms of this. In this framework prices of zero-bonds are expressed in terms of conditional expectations, which leads us to the concept of modeling with Markov processes. First the theory is presented and then used in a various number of simulations using a Markov process in continuous time with finite state-space and continuous state-space.

Stats
The PDF-Document has been downloaded 34 times.