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Title:Nonparametric and Parametric Analyses on the Forward Rate Volatilities and Their Implications on Interest Rate Options Pricing
Author(s):Zhou, Anjun
Doctoral Committee Chair(s):Pearson, Neil D.
Department / Program:Finance
Discipline:Finance
Degree Granting Institution:University of Illinois at Urbana-Champaign
Degree:Ph.D.
Genre:Dissertation
Subject(s):Economics, Finance
Abstract:Based on the results obtained in the nonparametric analysis, this paper proposes an HJM volatility model and estimates it in the GARCH-family models. The proposed volatility model is compared with four alternative HJM models and shown to perform well both in capturing the volatility movement and in American options pricing.
Issue Date:1999
Type:Text
Language:English
Description:110 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1999.
URI:http://hdl.handle.net/2142/87449
Other Identifier(s):(MiAaPQ)AAI9953188
Date Available in IDEALS:2015-09-28
Date Deposited:1999


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