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Author Sullivan, Michael A.

Title Discrete-time continuous-state interest rate models / Michael A. Sullivan.

Imprint [Washington, D.C.] : U.S. Office of the Comptroller of the Currency, [2000]

Copies

Location Call No. OPAC Message Status
 Axe Fed Docs - Online Documents  T 12.22:2000-6    ---  Available
Description 1 online resource (22 pages).
text txt rdacontent
computer c rdamedia
online resource cr rdacarrier
Series [Economic and policy analysis working paper ; 2000-6]
Economic and policy analysis working paper (2000) ; 2000-6.
System Details Mode of access: Internet via the OCC Web site. Address as of 01/30/04: http://www.occ.treas.gov/ftp/workpaper/wp2000-6.pdf; current access is available via PURL.
Note Title from title screen (viewed on Jan. 30, 2004).
"April 2000."
Date of issue and series statement from pre-page.
Form Also available in paper.
Bibliography Includes bibliographical references.
Summary "We show how to implement arbitrage-free models of the short-term interest rate in discrete-time setting that allows continuum of rates at any particular date. Discrete time allows approximate pricing of interest rate contingent claims that cannot be valued in continuous-timemodels. It is usually associated with discrete states, with possible interest rates restricted to a limited number of outcomes, as in the lattice model of Hull and White (1994). We develop a method for approximating the prices of contingent claims without that restriction. We usenumerical integration to evaluate the risk-neutral expectations that define those prices, and function approximation to efficiently summarize the information. The procedure is simpleand flexible. We illustrate its properties in the extended Vasicek model of Hull and Whiteand show it to be an effective alternative to lattice methods"--Office of the Comptroller of the Currency web site.
Subject Interest rates -- Econometric models.
Interest rates -- Econometric models. (OCoLC)fst00976180
Added Author United States. Office of the Comptroller of the Currency.
Other Form: Sullivan, Michael A. Discrete-time continuous-state interest rate models 15, [6] p. (OCoLC)44099957
Standard No. AU@ 000026537580
Gpo Item No. 0947-A-01 (online)
Sudoc No. T 12.22:2000-6

 
    
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