A Stochastic Volatility Model And Inference For The Term Structure Of Interest Rates

Download or read book A Stochastic Volatility Model and Inference for the Term Structure of Interest Rates written by Peng Liu and published by . This book was released on 2007 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis builds a stochastic volatility model for the term structure of interest rates, which is also known as the dynamics of the yield curve. The main purpose of the model is to propose a parsimonious and plausible approach to capture some characteristics that conform to some empirical evidence and conventions. Eventually, the development reaches a class of multivariate stochastic volatility models, which is flexible, extensible, providing the existence of an inexpensive inference approach.