Yield curve modelling via two parameter process

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2005

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Pekerten, Uygar

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Random field models have provided a flexible environment in which the properties of the term structure of interest rates are captured almost as observed. In this study we provide an overview of the forward rate random fiield models and propose an extension in which the forward rates fluctuate along with a two parameter process represented by a random field. We then provide a mathematical expression of the yield curve under this model and sketch the prospective utilities and applications of this model for interest rate management.

Subject Keywords

Probabilities.

URI

http://etd.lib.metu.edu.tr/upload/12605905/index.pdf
https://hdl.handle.net/11511/14809

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Graduate School of Applied Mathematics, Thesis

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Citation Formats

U. Pekerten, “Yield curve modelling via two parameter process,” M.S. - Master of Science, Middle East Technical University, 2005.