RT info:eu-repo/semantics/article
T1 The Role of the Risk-Neutral Jump Size Distribution in Single-Factor Interest Rate Models
A1 Gómez del Valle, María Lourdes
A1 Martínez Rodríguez, Julia
K1 Tipos de interés
K1 Economía y empresa
AB We obtain a result that relates the risk-neutral jump size of interest rates with yield curve data. This function is unobservable;therefore, this result opens a way to estimate the jump size directly fromdata in the markets together with the risk-neutral drift andjump intensity estimations.Then, we investigate the finite sample performance of this approach with a test problem.Moreover, weanalyze the effect of estimating the risk-neutral jump size instead of assuming that it is artificially absorbed by the jump intensity,as usual in the interest rate literature. Finally, an application to US Treasury Bill data is also illustrated.
PB Hindawi Publishing Corporation
SN 1085-3375
YR 2015
FD 2015
LK http://uvadoc.uva.es/handle/10324/21424
UL http://uvadoc.uva.es/handle/10324/21424
LA eng
NO Abstract and Applied Analysis. Volume 2015, 2015, Article ID 805695, p. 1-8
NO Producción Científica
DS UVaDOC
RD 19-abr-2024