Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities

George J. Jiang

doi:10.2307/2331128

Zhang, Hua 1999. Dynamics of the Short-Term Interest Rate after the 1979–1982 Monetary Experiment. The Journal of Fixed Income, Vol. 9, Issue. 3, p. 35.

Jiang, George J. and van der Sluis, Pieter Jelle 2000. Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates. SSRN Electronic Journal,

Sundaresan, Suresh M. 2000. Continuous‐Time Methods in Finance: A Review and an Assessment. The Journal of Finance, Vol. 55, Issue. 4, p. 1569.

Fernandez, Viviana 2001. A nonparametric approach to model the term structure of interest rates. International Review of Financial Analysis, Vol. 10, Issue. 2, p. 99.

Jiang, George J. and van der Sluis, Pieter Jelle 2001. Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates. SSRN Electronic Journal,

Abid, Fathi and Ben Salah, Mona 2002. Estimating Term Structure of Interest Rates: Neural Network Vs one Factor Parametric Models. SSRN Electronic Journal ,

Li, Haitao and Hong, Yongmiao 2002. Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates. SSRN Electronic Journal,

Jiang, George J. 2002. Testing Option Pricing Models with Stochastic Volatility, Random Jumps and Stochastic Interest Rates. International Review of Finance, Vol. 3, Issue. 3-4, p. 233.

Bandi, Federico M. 2002. Short-term interest rate dynamics: a spatial approach. Journal of Financial Economics, Vol. 65, Issue. 1, p. 73.

GEORGEV, GEORGI JUNG, JAY KAZEMI, HOSSEIN B. and MAHDAVI, MAHNAZ 2002. REVEALING THE MARKET PRICE OF RISK FROM THE SHORT‐TERM RATE PROCESS. Studies in Economics and Finance, Vol. 20, Issue. 2, p. 19.

Zhou, Hao 2003. Itô Conditional Moment Generator and the Estimation of Short Rate Processes. Finance and Economics Discussion Series, Vol. 2003.0, Issue. 32, p. 1.

Dell'Aquila, Rosario Ronchetti, Elvezio and Trojani, Fabio 2003. Robust GMM analysis of models for the short rate process. Journal of Empirical Finance, Vol. 10, Issue. 3, p. 373.

Bali, Turan G 2003. Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds. Journal of Banking & Finance, Vol. 27, Issue. 2, p. 201.

Mele, Antonio 2003. Fundamental Properties of Bond Prices in Models of the Short-Term Rate. Review of Financial Studies, Vol. 16, Issue. 3, p. 679.

Kristensen, Dennis 2004. A Semiparametric Diffusion Model for the Short Term Interest Rate. SSRN Electronic Journal,

Johannes, Michael 2004. The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models. The Journal of Finance, Vol. 59, Issue. 1, p. 227.

Kristensen, Dennis 2004. Estimation of Partial Differential Equations with Applications in Finance. SSRN Electronic Journal,

Sam, Abdoul G and Jiang, George J. 2005. Nonparametric Estimation of the Short Rate Diffusion from a Panel of Yields. SSRN Electronic Journal,

Jimenez, J. C. Biscay, R. J. and Ozaki, T. 2005. Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview. Asia-Pacific Financial Markets, Vol. 12, Issue. 2, p. 109.

Bali, Turan G. and Wu, Liuren 2005. A Comprehensive Analysis of the Short-Term Interest Rate Dynamics. SSRN Electronic Journal,

Save article to Kindle

Save article to Dropbox

Save article to Google Drive

Reply to: Submit a response

Your details

You have entered the maximum number of contributors

Conflicting interests