Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models - Federal Reserve Board
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This paper develops a method to approximate arbitrage-free bond yields within a term structure model in which the short rate follows a Gaussian process censored at zero (a shadow-rate model as proposed by Black, 1995). The censoring ensures that model-implied yields are constrained to be positive, but it also introduces non-linearity that renders standard bond pricing formulas inapplicable. In particular, y ... Full description
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Description
More Information
| Author | Federal Reserve Board |
|---|---|
| Publisher | CreateSpace Independent Publishing Platform |
| Release year | 2014 |
| Cover type | Softcover |
| EAN | 9781503223738 |