An empirical study of the term structure of interest rates

Kristian R. Miltersen

Scandinavian Journal of Management, 1993, vol. 9, issue Supplement 1, S29-S46

Abstract: This paper is an empirical study of the Heath-Jarrow-Morton model using Generalized Method of Moments and Simulated Method of Moments on Danish bond and option prices. The paper implements a simulation approach to price contingent claims written on purely interest rate-dependent securities fulfilling the Heath-Jarrow-Morton model. This method implies simulation of solutions of stochastic differential equations since the theoretical pricing model is too complicated to give closed form pricing formulas.

Keywords: Heath-Jarrow-Morton; model; term; structure; of; interest; rates; default-free; coupon; bonds; forward; rate; forward; rate; process; GMM; SME; implied; volatility; simulation; of; SDEs (search for similar items in EconPapers)
Date: 1993
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/095652219390004C
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:scaman:v:9:y:1993:i:supplement1:p:s29-s46

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/journaldescription.cws_home/872/bibliographic
http://www.elsevier. ... me/872/bibliographic

Access Statistics for this article

Scandinavian Journal of Management is currently edited by Janne Tienari

More articles in Scandinavian Journal of Management from Elsevier
Bibliographic data for series maintained by Catherine Liu ().