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UBC Theses and Dissertations
An examination of a model of the term structure of interest rates : Kennedy's model Sakellaris, Konstantinos
Abstract
We examine the term structure model proposed by Kennedy (1994). The model assumes that the interest rates can be described as a Gaussian Random Field. We find conditions that the drift and covariance function of the forward rates have to satisfy. We then try to calibrate the model using a number of approaches. Finally the proposed covariance function by Kennedy (1997) is tested.
Item Metadata
| Title |
An examination of a model of the term structure of interest rates : Kennedy's model
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| Creator | |
| Publisher |
University of British Columbia
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| Date Issued |
2000
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| Description |
We examine the term structure model proposed by Kennedy (1994). The model assumes
that the interest rates can be described as a Gaussian Random Field. We find conditions
that the drift and covariance function of the forward rates have to satisfy. We then try to
calibrate the model using a number of approaches. Finally the proposed covariance function
by Kennedy (1997) is tested.
|
| Extent |
7349511 bytes
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| Genre | |
| Type | |
| File Format |
application/pdf
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| Language |
eng
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| Date Available |
2009-07-09
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| Provider |
Vancouver : University of British Columbia Library
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| Rights |
For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use.
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| DOI |
10.14288/1.0080036
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| URI | |
| Degree | |
| Program | |
| Affiliation | |
| Degree Grantor |
University of British Columbia
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| Graduation Date |
2000-05
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| Campus | |
| Scholarly Level |
Graduate
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| Aggregated Source Repository |
DSpace
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Rights
For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use.