Short-term interest rate models: Valuing interest rate derivatives using a Monte-Carlo approach

Accounting and Finance

Volumn 43, Issue 2, 2003, Pages 231-259

  Treepongkaruna, Sirimon ^a   Gray, Stephen ^b  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

Interest rate derivatives; Monte Carlo simulation; Short term interest rates

Indexed keywords

EID: 33744949863     PISSN: 08105391     EISSN: 1467629X     Source Type: Journal    
DOI: 10.1111/1467-629X.00090     Document Type: Article

References (12)

1. Andersen, L. and P. P. Boyle, 2000, Monte Carlo methods for the valuation of interest rate securities. In: Jengadeesh, N. and B. Tuckman (eds.), Advanced fixed income valuation tools, Wiley, New York.
2. Aït-Sahalia, Y., 1996, Testing continuous-time models of the spot interest rate, Review of Financial Studies, 9, 35-426.
3. Chan, K. C., G. A. Karolyi, F. A. Longstaff, and A. B. Sanders, 1992, An empirical comparison of alternative models of the short-term interest rate, Journal of Finance, 47, 1209-1227.
4. Cox, J. C., E. Ingersoll, and S. A. Ross, 1985, A theory of the term structure of interest rates, Econometrica, 53, 385-407.
5. Hull, J., and A. White, 1994, Numerical procedures for implementing term structure models i: single-factor models, Journal of Derivatives, Fall, 7-16.
6. Hull, J., and A. White, 1996, Using Hull-White interest rate trees, Journal of Derivatives, Spring, 26-36.
7. Jamshidian, F., 1987, An exact bond option pricing formula, Journal of Finance, 44, 205-9.
8. Jiang, G. J., 1998, Nonparametric modeling of U. S. interest rate term structure dynamics and implications on the prices of derivative securities, Journal of Financial and Quantitative Analysis, 33 (4), 465-97.
9. Stanton, R., 1997, A nonparametric model of term structure dynamics and the market price of interest rate risk, The Journal of Finance, LII (5), 1973-2002.
10. Treepongkaruna, S., and S. F. Gray, 2002, How to value interest rate derivatives in a noarbitrage setting, Accounting Research Journal, 15 (1), 39-57.
11. Treepongkaruna, S., and S. F. Gray, 2003, On the robustness of the short-term interest rates, Accounting and Finance, 43 (1), 87-121.
12. Vasicek, O., 1977, An equilibrium characterization of the term structure, Journal of Financial Economics, 5, 177-188.