Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 61 for “"yield curve"”.
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Estimating yield curve noise
… I explore methods for estimating noise in the yield curve. I evaluate optimization methods for fitting yield curves using the Nelson-Siegel model where recommendations in the literature remain unclear. I provide open source code on Github including contributions to the QuantLib C++ financial …
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THEORETICAL DETERMINATION OF THE YIELD CURVE FOR UNSATURATED SOILS
… constitutive model for unsaturated soils. The yield curve, which separates the elastic region from the elastoplastic region, is an important aspect of constitutive modeling for unsaturated soils. Most concepts for unsaturated soils were developed based upon the results from suction-controlled …
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Calibrating Term Structure Models to an Initial Yield Curve
… – that is, to be calibrated to the initial yield curve. Under the two exogenous models explored in this dissertation, the Hull-White and the CIR++, the effect of increasing the volatility parameter of the SDE increases the mean of the short rate. Increasing volatility of an SDE is a common …
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Forecasting the Yield Curve of Government Bonds: A Comparative Study
… its impressive performance in in-sample fitting yield curves, little research has focused on the out-of-sample forecast of yield curves using the Kalman filter. The goal of this thesis is to develop a unified dynamic model based on Diebold and Li (2006) and Nelson and Siegel’s (1987) three-factor …
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An extended yield curve model for bond option pricing using a Jump/Garch-m forward rate process
Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1991.
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Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies
… to model the South African Local Government Bond Yield curve according to the Nelson Siegel Parameterisation framework, as implemented in the pivotal work of Diebold and Li (2006) in forecasting the US Treasury curve.
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The impact of news on the South African sovereign bond market
… investigate how the South African sovereign bond yield curve react to headline news. Abnormal return dates in the zero-coupon yields are identified using GARCH models on the daily return series and news items that are classified into categories using supervised machine learning. A regression model …
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Bayesian smoothing spline models and their application in estimating yield curves
… structure of interest rates, also called the yield curve, is the series of interest rates ordered by term to maturity at a given time. The smoothing spline as a nonparametric regression method has been used widely for fitting a smooth curve due to its flexibility and smoothing properties. In …
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Essays on Macro-Finance Relationships
… "less active" monetary policy regimes,: ii) the yield curve in the "more active" regime was considerably more volatile than in the "less active" regime, and: iii) on average, the slope of the yield curve in the "more active" regime was steeper than in the "less active" regime. The steeper yield …
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The term structure of interest rates: a comparative analysis of zero-coupon bond forward rates and Eurodollar futures rates
… uses the Anderson-Leies synthetic zero-coupon yield curve from Caroline Leies' study of the Term Structure a/Zero-Coupon and Coupon Bonds. The term structure of the synthetic zero-coupon bonds is used to extract the "clean" implied forward rates embedded in its yield curve to be compared to the …
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Expectations, risk aversion, and the term structure of interest rates in Australia : an analysis of the effect of alternative methods of constructing yield curves on the results of the error learning model, and of the extent of central bank control over the yield curve
xii, 235 leaves : ill. ; 27 cm.
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Three essays on debt pricing
… derives the credit spread in closed form and yields a credit spread similar to real data when the model is calibrated. The model also well captures the relationship between belief dispersion, risk-free rate and credit spread. It shows that belief dispersion, rare event risk and wealth …
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Efficient Monte Carlo simulations of pricing captions using Libor market models
… the behaviour of the entire zero coupon yield curve. The equity and yield curve, respectively, relate to the difference in the dynamics of a scalar variable and vector variable. Moreover, captions are second order with respect to the discount bonds in that they are options on caps (which …
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Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market
… level of interest rates, the slope of the bond yield curve, bond yield volatility, the level of government bond issuance, and the level of corporate borrowing. The regression results indicated that the slope of the bond yield curve dominates as a predictor variable with the level of corporate …
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Investigating Systemic Risk with Co-occurrence Networks – Studies from the fields of sovereign bond and energy markets
… of the Fed and the ECB on the sovereign yield curve network This study investigates the sovereign yield curve network of 12 developed countries. The term structure of interest rates into the Level, Slope, and Curvature factors are decomposed by using the Diebold and Li model. The …
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Empirical analysis and forecasting of yield curves
… thesis focuses on modeling and forecasting the yield curves. We used the Principal Component Analysis(PCA) , Nelson Siegel(NS) model, and Gaussian Regression Process(GPR) in order to fit and forecast the European yield curve with different maturities. The second part of this thesis focuses on …
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Hedging Interest-Rate Options Using Principal Components Analysis
… of the market rates that are used to bootstrap a yield curve. However, this is likely to lead to an excessive amount of trading due to an investment in a large number of hedging securities. As an alternative, we consider using principal components analysis (PCA) to condense most of the variability …
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Etching kinetics and surface roughening of polysilicon and dielectric materials in inductively coupled plasma beams
… ion bombardment angles. The angular etching yields of polysilicon and dielectric materials in Ar, C12/Ar, and C4F8/Ar plasma beams were studied as a function of ion bombardment energy, ion bombardment angle, etching time, plasma pressure, and plasma composition. Interestingly, the effective …
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Multi-Factor Dynamic Modelling and Forecasting of Interest Rates and Equity Markets
… methods for dynamic Continuous-Time models yield insightful comparative results concerning the two different segments of the yield curve. The dynamics of the more volatile short-end of the yield curve are best explained by the most flexible models which consistently outperform all the other …
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