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Table of Contents
Intro; Preface; Scientific Committee; Contents; New Term Structure Modeling Approaches; Term Structure, Market Expectations of the Short Rate, and Expected Inflation; 1 Introduction; 2 A New Usage of the Classic Model; 2.1 Instantaneous Forward Rate; 2.2 Volatility Term Structure and Markov Representation; 2.3 A Closer Look at the Companion Form Realization; 3 Empirical Results; 3.1 Data, Parameter Estimates, and Fitting Performance; 3.2 State Variables; 3.3 Yields Responses; 3.4 Case Studies: Impacts of LSAP, MEP, and QE3 Announcements; 4 Conclusions.
Appendix 1: State Variables as the Forward Curve CharacteristicsAppendix 2: Expected Inflation and Short Rate Expectations; References; A New Approach to CIR Short-Term Rates Modelling; 1 Literature Review; 2 Numerical and Empirical Results; 3 Conclusions; References; The Heath-Jarrow-Morton Model with Regime Shifts and Jumps Priced; 1 Introduction; 2 The MRS-HJM Model with Jumps; 3 No-Arbitrage Drift Condition I; 4 No-Arbitrage Drift Condition II; 5 Conclusion; References; Explicit Computation of the Post-crisis Spot LIBOR in a Jump-Diffusion Framework; 1 Financial Terminology and Notation.
2 Introduction to the Problem3 Affine Jump-Diffusions; 3.1 Exponentially Affine Term Structure; 3.2 The Vasiček Model with Double Exponential Jumps; 4 A Model for the Post-crisis Spot LIBOR; 4.1 V-DEJ/EJ+ Model; 5 Conclusions; References; An Overview of Post-crisis Term Structure Models; 1 Introduction; 2 Post-crisis Interest Markets: Single- Versus Multi-curve Universe; 3 Post-crisis Term Structure Models; 3.1 Short-Rate Models for Multiple Curves; 3.2 Libor Market Models for Multiple Curves; 3.3 Economic Scenario Generators for Term Structures; 4 Conclusion and Outlook; References.
A Comparison of Estimation Techniques for the Covariance Matrix in a Fixed-Income Framework1 Introduction; 2 Methodology; 2.1 Notational Conventions; 2.2 Sample Estimator; 2.3 Shrinkage and Nonlinear Shrinkage Estimators; 2.4 Minimum Covariance Determinant and Minimum Regularised Covariance Determinant; 3 Case Study; 3.1 Data Description; 3.2 Results; 4 Conclusion; References; The Term Structure Under Non-linearity Assumptions: New Methods in Time Series; 1 Introduction; 2 The Term Structure and the Expectations Hypothesis of the Term Structure; 3 Evidence by Region; 3.1 The USA.
3.2 European Monetary Union4 Time Series Applications of the Term Structure: The FCVAR; 5 Monetary Policy and Controllability of Interest Rates; 6 Conclusions; References; Affine Type Analysis for BESQ and CIR Processes with Applications to Mathematical Finance; 1 Roadmap and Main Results; 2 Introduction to CIR and BESQ Processes; 2.1 Construction of BESQ Processes; 3 Characterization of Affine Processes; 4 Affine Short Rate Models and Pricing Formulas; 5 BESQ Processes Approach to the Dividend Dynamics Structure; References; New Advances in Fixed Income Management.
Appendix 1: State Variables as the Forward Curve CharacteristicsAppendix 2: Expected Inflation and Short Rate Expectations; References; A New Approach to CIR Short-Term Rates Modelling; 1 Literature Review; 2 Numerical and Empirical Results; 3 Conclusions; References; The Heath-Jarrow-Morton Model with Regime Shifts and Jumps Priced; 1 Introduction; 2 The MRS-HJM Model with Jumps; 3 No-Arbitrage Drift Condition I; 4 No-Arbitrage Drift Condition II; 5 Conclusion; References; Explicit Computation of the Post-crisis Spot LIBOR in a Jump-Diffusion Framework; 1 Financial Terminology and Notation.
2 Introduction to the Problem3 Affine Jump-Diffusions; 3.1 Exponentially Affine Term Structure; 3.2 The Vasiček Model with Double Exponential Jumps; 4 A Model for the Post-crisis Spot LIBOR; 4.1 V-DEJ/EJ+ Model; 5 Conclusions; References; An Overview of Post-crisis Term Structure Models; 1 Introduction; 2 Post-crisis Interest Markets: Single- Versus Multi-curve Universe; 3 Post-crisis Term Structure Models; 3.1 Short-Rate Models for Multiple Curves; 3.2 Libor Market Models for Multiple Curves; 3.3 Economic Scenario Generators for Term Structures; 4 Conclusion and Outlook; References.
A Comparison of Estimation Techniques for the Covariance Matrix in a Fixed-Income Framework1 Introduction; 2 Methodology; 2.1 Notational Conventions; 2.2 Sample Estimator; 2.3 Shrinkage and Nonlinear Shrinkage Estimators; 2.4 Minimum Covariance Determinant and Minimum Regularised Covariance Determinant; 3 Case Study; 3.1 Data Description; 3.2 Results; 4 Conclusion; References; The Term Structure Under Non-linearity Assumptions: New Methods in Time Series; 1 Introduction; 2 The Term Structure and the Expectations Hypothesis of the Term Structure; 3 Evidence by Region; 3.1 The USA.
3.2 European Monetary Union4 Time Series Applications of the Term Structure: The FCVAR; 5 Monetary Policy and Controllability of Interest Rates; 6 Conclusions; References; Affine Type Analysis for BESQ and CIR Processes with Applications to Mathematical Finance; 1 Roadmap and Main Results; 2 Introduction to CIR and BESQ Processes; 2.1 Construction of BESQ Processes; 3 Characterization of Affine Processes; 4 Affine Short Rate Models and Pricing Formulas; 5 BESQ Processes Approach to the Dividend Dynamics Structure; References; New Advances in Fixed Income Management.