Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models
Fil: Kisbye, Noemí Patricia. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina.
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | info:eu-repo/semantics/publishedVersion |
| Language: | eng |
| Published: |
2024
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/11086/553085 https://doi.org/10.4236/jmf.2017.74050 |
| _version_ | 1806648089192169472 |
|---|---|
| author | Kisbye, Noemí Patricia Meier, Karem |
| author2 | https://orcid.org/0000-0003-4369-7103 |
| author_facet | https://orcid.org/0000-0003-4369-7103 Kisbye, Noemí Patricia Meier, Karem |
| author_sort | Kisbye, Noemí Patricia |
| collection | Repositorio Digital Universitario |
| description | Fil: Kisbye, Noemí Patricia. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina. |
| format | info:eu-repo/semantics/publishedVersion |
| id | rdu-unc.553085 |
| institution | Universidad Nacional de Cordoba |
| language | eng |
| publishDate | 2024 |
| record_format | dspace |
| spelling | rdu-unc.5530852024-08-06T06:35:49Z Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models Kisbye, Noemí Patricia Meier, Karem https://orcid.org/0000-0003-4369-7103 Nelson-Siegel curves Short rate interest models Consistency info:eu-repo/semantics/publishedVersion Fil: Kisbye, Noemí Patricia. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina. Fil: Meier, Karem. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina. Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their initial forward rate curve can be adjusted to any observed data, as the Ho-Lee and the Hull and White one factor models. In this work we study the evolution of the forward curve process for each of these models assuming that the initial curve is of Nelson-Siegel type. We conclude that the forward curve process produces curves belonging to a parametric family of curves that can be seen as extended Nelson and Siegel curves. We show that the forward rate curve evolution has a linear or an exponential growth, depending on the particular short rate interest model. We applied the results to Argentinian short and forward rates obtained from the Lebac’s bills yields using the Hull and White short rate model, showing a good estimation of the observed forward rate curve for near dates when the initial forward curve is adjusted with a Nelson and Siegel one. http://www.scirp.org/journal/doi.aspx?DOI=10.4236/jmf.2017.74050 info:eu-repo/semantics/publishedVersion Fil: Kisbye, Noemí Patricia. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina. Fil: Meier, Karem. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina. Matemática Aplicada 2024-08-05T14:48:41Z 2024-08-05T14:48:41Z 2017 article Kisbye, P. y Meier, K. (2017). Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models. Journal of Mathematical Finance, 7, 919-933. https://doi.org/10.4236/jmf.2017.74050 2162-2434 http://hdl.handle.net/11086/553085 2162-2442 https://doi.org/10.4236/jmf.2017.74050 eng Attribution 4.0 International http://creativecommons.org/licenses/by/4.0/ Impreso; Electrónico y/o Digital |
| spellingShingle | Nelson-Siegel curves Short rate interest models Consistency Kisbye, Noemí Patricia Meier, Karem Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models |
| title | Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models |
| title_full | Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models |
| title_fullStr | Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models |
| title_full_unstemmed | Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models |
| title_short | Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models |
| title_sort | consistency of extended nelson siegel curve families with the ho lee and hull and white short rate models |
| topic | Nelson-Siegel curves Short rate interest models Consistency |
| url | http://hdl.handle.net/11086/553085 https://doi.org/10.4236/jmf.2017.74050 |
| work_keys_str_mv | AT kisbyenoemipatricia consistencyofextendednelsonsiegelcurvefamilieswiththeholeeandhullandwhiteshortratemodels AT meierkarem consistencyofextendednelsonsiegelcurvefamilieswiththeholeeandhullandwhiteshortratemodels |