Forward versus spot interest rate models of the term structure: An empirical comparison

Journal of Derivatives

Volumn 7, Issue 3, 2000, Pages 9-21

  Moraleda, Juan M ^a,b   Pelsser, Antoon ^c,d  

^a BSCH Treasury in Madrid   (Spain)

^b UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^c Product Development Group   (Netherlands)

^d ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0142220615     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2000.319122     Document Type: Conference Paper

References (22)

1. Amin, K.I., and A.J. Morton. "Implied Volatility Functions in Arbitrage-Free Term Structure Models." Journal of Financial Economics, 35 (1994), pp. 141-180.
2. Amin, K.I., and V.K. Ng. "Heath, Jarrow and Morton Implied Volatility Functions and Conditional Heteroskedasticity Models: Information in Eurodollar Futures Options." Working paper, Lehman Brothers, 1995.
3. Black, F. "The Pricing of Commodity Contracts." Journal of Financial Economics, 3 (1976), pp. 167-179.
4. Black, F., and P. Karasinski. "Bond and Option Pricing when Short Rates are Lognormal." Financial Analysts Journal, 47 (1991), pp. 52-59.
5. Bliss, R., and P. Ritchken. "Empirical Tests of Two State-Variable Heath, Jarrow and Morton Models." Journal of Money, Credit and Banking, 28 (1996), pp. 452-476.
6. Brown, R.H., and P.H. Dybvig. "The Empirical Implications of the Cox-Ingersoll-Ross Theory of the Term Structure of Interest Rates." Journal of Finance, 41 (1986), pp. 617-630.
7. Bühler, W., M. Uhrig, U. Walter, and T. Weber. "An Empirical Comparison of Forward-and Spot-Rate Models for Valuing Interest-Rate Options." Journal of Finance, 54 (1999), pp. 261-305.
8. Chan, K.C., G.A. Karolyi, F.A. Longstaff, and A.B. Sanders. "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate." Journal of Finance, 47 (1992), pp. 1209-1227.
9. Cheyette, O. "Term Structure Dynamics and Mortgage Valuation." Journal of Fixed Income, 1 (1992), pp. 28-41.
10. de Munnik, J., and P. Schotman. "Cross Sectional versus Time Series Estimation of Term Structure Models: Evidence for the Dutch Bond Market." Journal of Banking and Finance, 18 (1994), pp. 997-1025.
11. Flesaker, B. "Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing." Journal of Financial and Quantitative Analysis, 28 (1993), pp. 483-495.
12. Heath, D., R. Jarrow, and A.J. Morton. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation." Econometrica, 60 (1992), pp. 77-105.
13. Hull, J., and A. White. "Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models." Journal of Derivatives, Fall 1994, pp. 7-16.
14. Judge, G., C. Hill, W. Griffiths, H. Lutkepohl, and T.C. Lee. Introduction to the Theory and Practice of Econometrics. New York: John Wiley & Sons, 1982.
15. Li, A., P. Ritchken, and L. Sankarasubramanian. "Lattice Models for Pricing American Interest Rate Claims." Journal of Finance, 1 (1995), pp. 719-737.
16. Moraleda, J.M. "On the Pricing of Interest-Rate Options." Ph.D. dissertation, Erasmus University, Rotterdam, The Netherlands, 1997.
17. Moraleda, J.M., and A.C.F. Vorst. "Empirical Behaviour of Interest-Rate Models." In System Dynamics in Economic and Financial Models. Amsterdam: John Wiley & Sons, 1997a.
18. - "Pricing American Interest Rate Claims with Humped Volatility Models." Journal of Banking and Finance, 21 (1997b), pp. 1131-1157.
19. Pelsser, A.A.J. Efficient Methods for Valuing and Managing Interest Rate Derivative Securities. Berlin: Springer Verlag, 2000.
20. - "A Tractable Yield-Curve Model that Guarantees Positive Interest Rates." Review of Derivatives Research, 1 (1997), pp. 269-284.
21. Ritchken, P., and L. Sankarasubramanian. "Volatility Structures of Forward Rates and the Dynamics of the Term Structure." Mathematical Finance, 5 (1995), pp. 55-72.
22. Rogers, L.G.C. "Which Model of Term-Structure of Interest Rates Should One Use?" In M. Davis, D. Due, W. Fleming, and S. Shreve, eds., Mathematical Finance, Vol. 65. New York: Springer Verlag, 1995.