scholarly journals Correction to: Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products

2021 ◽  
Author(s):  
Franziska Diez ◽  
Ralf Korn
Keyword(s):  
Interest Rate ◽  
Yield Curve ◽  
Interest Rate Models

scholarly journals The Role of the Risk-Neutral Jump Size Distribution in Single-Factor Interest Rate Models

2015 ◽  
Vol 2015 ◽  
pp. 1-8 ◽  
Author(s):  
L. Gómez-Valle ◽  
J. Martínez-Rodríguez
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Yield Curve ◽  
Finite Sample ◽  
Interest Rate Models ◽  
Neutral Drift ◽  
Jump Size ◽  
Risk Neutral ◽  
Jump Intensity ◽  
The Interest Rate

We obtain a result that relates the risk-neutral jump size of interest rates with yield curve data. This function is unobservable; therefore, this result opens a way to estimate the jump size directly from data in the markets together with the risk-neutral drift and jump intensity estimations. Then, we investigate the finite sample performance of this approach with a test problem. Moreover, we analyze the effect of estimating the risk-neutral jump size instead of assuming that it is artificially absorbed by the jump intensity, as usual in the interest rate literature. Finally, an application to US Treasury Bill data is also illustrated.

Sign in / Sign up

Export Citation Format

Share Document