Three models of the term structure of interest rates
Rhee, Joonhee (1998) Three models of the term structure of interest rates. PhD thesis, University of Warwick.
WRAP_THESIS_Rhee_1998.pdf - Submitted Version - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Official URL: http://webcat.warwick.ac.uk/record=b1363703~S1
In this dissertation, we consider the stochastic volatility of short rates, the jump property of short rates, and market expectation of changes in interest rates as the crucial factors in explaining the term structure of interest rates. In each chapter, we model the term structure of interest rates in accordance with these factors.
|Item Type:||Thesis or Dissertation (PhD)|
|Subjects:||H Social Sciences > HB Economic Theory|
|Library of Congress Subject Headings (LCSH):||Interest rates -- Econometric models|
|Institution:||University of Warwick|
|Theses Department:||Warwick Business School|
|Extent:||v, 181, xviii leaves|
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