Analyzing Default-Free Bond Markets by Diffusion Models

Franco Moriconi
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Franco Moriconi: University of Perugia

A chapter in Financial Risk in Insurance, 2000, pp 25-46 from Springer

Abstract: Abstract In this paper we shall illustrate how diffusion models can be used to extract the term structure of interest rates from observed prices and to determine theoric prices and risk measures of term-structure derivatives. We shall assume throughout that the risk of default can be ignored.

Keywords: Interest Rate; Term Structure; Real Interest Rate; Nominal Interest Rate; Spot Rate (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-57846-5_2

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DOI: 10.1007/978-3-642-57846-5_2

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