{"id":{"repo_id":"maynooth","oai_identifier":"oai:mural.maynoothuniversity.ie:3991"},"canonical_url":"https://search.dev.ndltd.org/etd/maynooth/oai:mural.maynoothuniversity.ie:3991","repository":{"repo_id":"maynooth","name":"National University of Ireland - Maynooth","base_url":"http://mural.maynoothuniversity.ie/cgi/oai2"},"display":{"title":"Modeling a Two-currency Affine Arbitrage-free Nelson-Siegel Term Structure Model","abstract":"This thesis contains two papers. In the first paper, we provide a general overview of the most popular term structure of interest rate models. In order to understand different features of each model, we classify by means of general characteristics, from single-factor to multi-factor and forward rate based models. Each of these existing term structure models has its own advantages and disadvantages. We also highlight the recently advocated models in the literature: the Nelson-Siegel model, the affine and the quadratic arbitrage-free model. In the second paper we extend the affine arbitrage-free Nelson-Siegel model to a two-currency (3+1) factor structure model that incorporates the properties of interest rate term structure and foreign exchange rates simultaneously within one arbitrage-free framework by decomposing the pricing kernel into two independent portions: one portion contains three factors that model the affine Nelson-Siegel term structure of interest rate, the other portion contains one factor that captures the effect of the currency movement, which is independent of the term structure.","abstract_html":"This thesis contains two papers. In the first paper, we provide a general overview of the most popular term structure of interest rate models. In order to understand different features of each model, we classify by means of general characteristics, from single-factor to multi-factor and forward rate based models. Each of these existing term structure models has its own advantages and disadvantages. We also highlight the recently advocated models in the literature: the Nelson-Siegel model, the affine and the quadratic arbitrage-free model. In the second paper we extend the affine arbitrage-free Nelson-Siegel model to a two-currency (3+1) factor structure model that incorporates the properties of interest rate term structure and foreign exchange rates simultaneously within one arbitrage-free framework by decomposing the pricing kernel into two independent portions: one portion contains three factors that model the affine Nelson-Siegel term structure of interest rate, the other portion contains one factor that captures the effect of the currency movement, which is independent of the term structure.","abstract_has_math":false,"creators":["Yu, Yi"],"institution":"National University of Ireland Maynooth","degree_name":null,"degree_level":"masters","degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2012,"date_issued":"2012","date_published":"2012","updated_at":"2026-07-24T03:02:39Z","subjects":["Economics, Finance & Accounting"],"languages":["en"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":null,"outbound_label":null,"outbound_source":null},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:creator","label":"Author","values":["Yu, Yi"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2012"]},{"key":"dc:date.issued","label":"Date","values":["2012"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Economics, Finance & Accounting"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["National University of Ireland Maynooth"]},{"key":"dc:relation.isreferencedby","label":"Dc Relation Isreferencedby","values":["https://mural.maynoothuniversity.ie/id/eprint/3991/"]},{"key":"dc:type","label":"Dc Type","values":["Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["masters"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Economics, Finance & Accounting"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["en"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["https://mural.maynoothuniversity.ie/id/eprint/3991/1/Theses.Yi.Yu.pdf"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["This thesis contains two papers. In the first paper, we provide a general overview of the most popular term structure of interest rate models. In order to understand different features of each model, we classify by means of general characteristics, from single-factor to multi-factor and forward rate based models. Each of these existing term structure models has its own advantages and disadvantages. We also highlight the recently advocated models in the literature: the Nelson-Siegel model, the affine and the quadratic arbitrage-free model. In the second paper we extend the affine arbitrage-free Nelson-Siegel model to a two-currency (3+1) factor structure model that incorporates the properties of interest rate term structure and foreign exchange rates simultaneously within one arbitrage-free framework by decomposing the pricing kernel into two independent portions: one portion contains three factors that model the affine Nelson-Siegel term structure of interest rate, the other portion contains one factor that captures the effect of the currency movement, which is independent of the term structure."]},{"key":"dc:format","label":"Dc Format","values":["application/pdf"]},{"key":"dc:title","label":"Title","values":["Modeling a Two-currency Affine Arbitrage-free Nelson-Siegel Term Structure Model"]}]}],"canonical_facts":{"dc:creator":["Yu, Yi"],"dc:date":["2012"],"dc:date.issued":["2012"],"dc:description.abstract":["This thesis contains two papers. In the first paper, we provide a general overview of the most popular term structure of interest rate models. In order to understand different features of each model, we classify by means of general characteristics, from single-factor to multi-factor and forward rate based models. Each of these existing term structure models has its own advantages and disadvantages. We also highlight the recently advocated models in the literature: the Nelson-Siegel model, the affine and the quadratic arbitrage-free model. In the second paper we extend the affine arbitrage-free Nelson-Siegel model to a two-currency (3+1) factor structure model that incorporates the properties of interest rate term structure and foreign exchange rates simultaneously within one arbitrage-free framework by decomposing the pricing kernel into two independent portions: one portion contains three factors that model the affine Nelson-Siegel term structure of interest rate, the other portion contains one factor that captures the effect of the currency movement, which is independent of the term structure."],"dc:format":["application/pdf"],"dc:identifier.uri":["https://mural.maynoothuniversity.ie/id/eprint/3991/1/Theses.Yi.Yu.pdf"],"dc:language":["en"],"dc:publisher.department":["Economics, Finance & Accounting"],"dc:publisher.institution":["National University of Ireland Maynooth"],"dc:relation.isreferencedby":["https://mural.maynoothuniversity.ie/id/eprint/3991/"],"dc:subject":["Economics, Finance & Accounting"],"dc:title":["Modeling a Two-currency Affine Arbitrage-free Nelson-Siegel Term Structure Model"],"dc:type":["Thesis"],"dc:type.qualificationlevel":["masters"]},"updated_at":"2026-07-24T03:02:39Z"}