Abstract
In the previous chapters we made intensive use of yield curves.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Notes
- 1.
Strictly speaking, this only holds true for interest rates greater than − m, where m is the number of discrete compoundings per year, since otherwise the formula for discrete compounding would fail. The authors firmly believe that this case can be ruled out safely in the real world.
- 2.
For simplicity’s sake, all present values refer to a Nominal of € 1.
- 3.
There are also other events used to define “survival”, such as filing for bankruptcy, restructuring or similar. For the determination of the present value, however, it is only important whether the contractually agreed upon cash flows actually happen or whether they are completely or partially lost.
References
M. Abramowitz, I. Stegun, Handbook of Mathematical Functions (Dover Publications, New York, 1972)
C. Alexander (ed.), The Handbook of Risk Management and Analysis (Wiley, Chichester, 1996)
L.B.G. Andersen, R. Brotherton-Ratcliffe, The equity option volatility smile: an implicit finite-difference approach. J. Comput. Finance 1(2), 5–37 (1998)
L.B.G. Andersen, V.V. Piterbarg, Interest Rate Modeling (Atlantic Financial Press, New York, London, 2010)
N. Anderson, F. Breedon, M. Deacon, et al., Estimating and Interpreting the Yield Curve (Wiley, Chichester, 1996)
D.F. Babbel, C.B. Merrill, Valuation of Interest-Sensitive Instruments (Society of Actuaries, Schaumburg, IL, 1996)
L. Bachelier, Théorie de la spéculation. Annales scientifiques de l’École Normale Supérieure 3(17), 21–86 (1900)
Bank for International Settlements, International convergence of capital measurement and capital standards, part 2. http://www.bis.org/publ/bcbs128b.pdf, June 2006
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
Copyright information
© 2019 The Author(s)
About this chapter
Cite this chapter
Deutsch, HP., Beinker, M.W. (2019). Construction of the Yield Curve Universe. In: Derivatives and Internal Models. Finance and Capital Markets Series. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-030-22899-6_29
Download citation
DOI: https://doi.org/10.1007/978-3-030-22899-6_29
Published:
Publisher Name: Palgrave Macmillan, Cham
Print ISBN: 978-3-030-22898-9
Online ISBN: 978-3-030-22899-6
eBook Packages: Economics and FinanceEconomics and Finance (R0)