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An Essay on Stochastic Volatility and the Yield Curve

  • Raymond Théoret
  • Pierre Rostan
  • Abdeljalil El-Moussadek
Part of the Finance and Capital Markets Series book series (FCMS)

Abstract

In this chapter we consider the issue of forecasting the stochastic volatility and the yield curve. These two concepts are very important in financial engineering, especially in risk management. Forecasting stochastic volatility is indeed an essential ingredient in VaR computations, and for immunizing bond portfolios a prediction of the yield curve is a sine qua non.

Keywords

Interest Rate Root Mean Square Error Extend Kalman Filter Term Structure Yield Curve 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Raymond Théoret, Pierre Rostan and, Abdeljalil El-Moussadek 2007

Authors and Affiliations

  • Raymond Théoret
  • Pierre Rostan
  • Abdeljalil El-Moussadek

There are no affiliations available

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