Spot Rate Models

Mario V. Wüthrich and Michael Merz
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Mario V. Wüthrich: ETH Zurich
Michael Merz: University of Hamburg

Chapter Chapter 3 in Financial Modeling, Actuarial Valuation and Solvency in Insurance, 2013, pp 35-95 from Springer

Abstract: Abstract In the previous chapter we have introduced the general valuation framework and state price deflators as abstract concepts. In this and the next chapters we present explicit models for state price deflator modeling. In the present chapter we consider models that are based on spot rates. They include multivariate Gaussian distributions and affine term structure models such as the discrete time one-factor and multifactor Vasicek models, ARMA and conditionally heteroscedastic time-series models, gamma spot rate models and the discrete time Black–Karasinski model. These models are supported by explicit applications to Swiss market financial data, and we analyze their strengths and weaknesses.

Keywords: Kalman Filter; ARMA Model; Multivariate Gaussian Distribution; Spot Rate; Maximum Likelihood Estimation Method (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-31392-9_3

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DOI: 10.1007/978-3-642-31392-9_3

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