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Term Structure Modeling at the Zero ...

ProQuest Information and Learning Co.

Term Structure Modeling at the Zero Lower Bound.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Term Structure Modeling at the Zero Lower Bound./
作者:	Nie, Yutian.
面頁冊數:	1 online resource (123 pages)
附註:	Source: Dissertation Abstracts International, Volume: 79-03(E), Section: B.
Contained By:	Dissertation Abstracts International79-03B(E).
標題:	Industrial engineering. -
電子資源:	click for full text (PQDT)
ISBN:	9780355297287

Term Structure Modeling at the Zero Lower Bound.
Nie, Yutian.

Term Structure Modeling at the Zero Lower Bound. - 1 online resource (123 pages)

Source: Dissertation Abstracts International, Volume: 79-03(E), Section: B.

Thesis (Ph.D.)--Northwestern University, 2017.

Includes bibliographical references

Zero interest rates (or negative interest rates) have been observed in a number of countries and regions in the world. Unlike normal interest regimes where the yield curve usually evolves as a whole, under the zero interest rate policy (ZIRP), the short end of the yield curve is pinned to the zero lower bound (ZLB) while the long end continues to move freely. This phenomenon poses a severe challenge to classic short rate models.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780355297287Subjects--Topical Terms:

679492
Industrial engineering.
Index Terms--Genre/Form:

554714
Electronic books.

Term Structure Modeling at the Zero Lower Bound.
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100 1 $a Nie, Yutian. $3 1192818
245 1 0 $a Term Structure Modeling at the Zero Lower Bound.
264 0 $c 2017
300 $a 1 online resource (123 pages)
336 $a text $b txt $2 rdacontent
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500 $a Source: Dissertation Abstracts International, Volume: 79-03(E), Section: B.
500 $a Adviser: Vadim Linetsky.
502 $a Thesis (Ph.D.)--Northwestern University, 2017.
504 $a Includes bibliographical references
520 $a Zero interest rates (or negative interest rates) have been observed in a number of countries and regions in the world. Unlike normal interest regimes where the yield curve usually evolves as a whole, under the zero interest rate policy (ZIRP), the short end of the yield curve is pinned to the zero lower bound (ZLB) while the long end continues to move freely. This phenomenon poses a severe challenge to classic short rate models.
520 $a In this dissertation, we study three types of short rate models designed for modeling the term structure of interest rates under the ZIRP. The first is due to Black (1995) where interest rates are viewed as options on underlying variables called the shadow rates. The second extends Black's shadow rate model by allowing different model parameters in the normal and zero interest rate regimes. The third is based on the theory of diffusion processes with sticky boundary. We present the eigenfunction expansion method for pricing interest rate instruments, specifically zero-coupon bonds, under one-factor versions of the ZIRP models, and obtain the solution through numerical PDE method under multi-factor ZIRP models. Then we empirically estimate one- and multi-factor ZIRP models with historical US Treasury yield curve data using the extended Kalman filter.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Industrial engineering. $3 679492
650 4 $a Economic theory. $3 809881
650 4 $a Management. $3 558618
655 7 $a Electronic books. $2 local $3 554714
690 $a 0546
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710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a Northwestern University. $b Industrial Engineering and Management Sciences. $3 1180832
773 0 $t Dissertation Abstracts International $g 79-03B(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10606903 $z click for full text (PQDT)

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