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2 edition of Modelling British interest rate adjustment found in the catalog.

Modelling British interest rate adjustment

Shelagh A. Heffernan

Modelling British interest rate adjustment

an error correction approach

by Shelagh A. Heffernan

  • 139 Want to read
  • 33 Currently reading

Published by City University Business School in London .
Written in English


Edition Notes

Statementby Shelagh Heffernan.
SeriesDiscussion paper / City University Business School -- 89, Discussion paper (City University Business School) -- 89.
ContributionsCity University. Department of Banking and Finance.
ID Numbers
Open LibraryOL19695728M

Downloadable! Much of the literature on interest rate pass through assumes banks set retail rates in relation to contemporary market rates. We argue that future rates also matter, and if forecasts of future rates are included, the empirical specifications of many previous studies are misspecified. Including forecasts rquires careful choice of the data and models used to make . Modelling real interest rates factor of e1", P is the speed of adjustment coefficient assumed to be positive, R(t) is the instantaneous interest rate at time t, a2 is the variance of dR(t), dw(t) is Wiener process with mean zero and variance d. The formulation of equation (1) offers considerable flexibility in modelling real interest by:

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Interest Rate Derivatives Written in a straightforward, clearly structured manner with extensive use of worked examples, this easy to use book gives you an explanation of both basic and advanced principles for the valuation of interest rate derivatives an1/5.   A brief introduction to interest rate models including Cox-Ingersoll, Ross and Vasicek models. Equilibrium and No-Arbitrage Interest Short Rate Models - Duration: Quant Channel 7, views.


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