MARC Record from Library of Congress

LEADER: 02050cam a22002897a 4500
001 2004620340
003 DLC
005 20050113152038.0
007 cr |||||||||||
008 050113s2000 dcu sb f000 0 eng
010 $a 2004620340
040 $aDLC$cDLC
050 00 $aHG2401
100 1 $aSullivan, Michael A.
245 10 $aDiscrete-time continuous-state interest rate models$h[electronic resource] /$cby Michael A. Sullivan.
260 $aWashington, DC :$bOffice of the Comptroller of the Currency,$c[2000]
490 1 $aEconomic and policy analysis working paper ;$v2000-6
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 1/13/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"We show how to implement arbitrage-free models of the short-term interest rate in discrete-time setting that allows continuum of rates at any particular date. Discrete time allows approximate pricing of interest rate contingent claims that cannot be valued in continuous-timemodels. It is usually associated with discrete states, with possible interest rates restricted to a limited number of outcomes, as in the lattice model of Hull and White (1994). We develop a method for approximating the prices of contingent claims without that restriction. We usenumerical integration to evaluate the risk-neutral expectations that define those prices, and function approximation to efficiently summarize the information. The procedure is simpleand flexible. We illustrate its properties in the extended Vasicek model of Hull and Whiteand show it to be an effective alternative to lattice methods"--Office of the Comptroller of the Currency web site.
650 0 $aInterest rates$xEconometric models.
710 1 $aUnited States.$bOffice of the Comptroller of the Currency.
830 0 $aEconomic and policy analysis working paper (2000 : Online) ;$v2000-6.
856 40 $uhttp://www.occ.treas.gov/wp2000-6.htm