Title: | The potential approach to the term structure of interest rates; theory and application | Language: | English | Authors: | Magenschab, Andreas | Qualification level: | Diploma | Keywords: | Potential Theorie/ Resolvente/ Markow Kette/ Markow Prozess/ Zinskurve/ Zinsstruktur/ Zins/ Bond/ Anleihe potential approach/ resolvent/ markov chain/ markov process/ yield curve/ term structure/ interest rates/ spot rate/ state price density/ zero bond |
Advisor: | Teichmann, Josef | Issue Date: | 2008 | Number of Pages: | 79 | Qualification level: | Diploma | Abstract: | The main aim of this text is a new approach to the term structure of interest rates called the potential approach. The key element of this approach is to view the state-price density (a positive supermartingale) as the modelling primitive and to express the prices of derivaties directly in terms of this. In this framework prices of zero-bonds are expressed in terms of conditional expectations, which leads us to the concept of modeling with Markov processes. First the theory is presented and then used in a various number of simulations using a Markov process in continuous time with finite state-space and continuous state-space. The main aim of this text is a new approach to the term structure of interest rates called the potential approach. The key element of this approach is to view the state-price density (a positive supermartingale) as the modelling primitive and to express the prices of derivaties directly in terms of this. In this framework prices of zero-bonds are expressed in terms of conditional expectations, which leads us to the concept of modeling with Markov processes. First the theory is presented and then used in a various number of simulations using a Markov process in continuous time with finite state-space and continuous state-space. |
URI: | https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-29668 http://hdl.handle.net/20.500.12708/14379 |
Library ID: | AC05037024 | Organisation: | E105 - Institut für Wirtschaftsmathematik | Publication Type: | Thesis Hochschulschrift |
Appears in Collections: | Thesis |
Files in this item:
File | Description | Size | Format | |
---|---|---|---|---|
The potential approach to the term structure of interest rates theory and application.pdf | 1.72 MB | Adobe PDF | ![]() View/Open |
Page view(s)
11
checked on Feb 18, 2021
Download(s)
54
checked on Feb 18, 2021

Google ScholarTM
Check
Items in reposiTUm are protected by copyright, with all rights reserved, unless otherwise indicated.