2002
DOI: 10.3905/jod.2002.319182
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Consistent Initial Curves for Interest Rate Models

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Cited by 12 publications
(13 citation statements)
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“…For this type of comparison, the tables are to be read along the columns. The fitting capabilities of the two approaches are different, confirming the analysis of Angelini and Herzel (2002).…”
Section: Consistent Versus Non-consistent Calibrationsupporting
confidence: 56%
See 2 more Smart Citations
“…For this type of comparison, the tables are to be read along the columns. The fitting capabilities of the two approaches are different, confirming the analysis of Angelini and Herzel (2002).…”
Section: Consistent Versus Non-consistent Calibrationsupporting
confidence: 56%
“…This extends the analysis of Angelini and Herzel (2002) who considered the case of the extended Vasicek model introduced by Hull and White (1990) and showed that the shape of the initial curve influences the performance of the model and that consistency plays a relevant role.…”
Section: Introductionsupporting
confidence: 52%
See 1 more Smart Citation
“…Finally, we point out that an inverse relationship between the 1-year forward rate and the implied volatility of the oneyear cap, can be observed. This fact has been documented, among others, by Angelini and Herzel (2002), and it is shown in Figure 3.…”
Section: Data Descriptionmentioning
confidence: 79%
“…Notice the relation between these figures and the corresponding ones of Fig. 2. used to determine the structure of forward rates, e.g., by fitting a NelsonSiegel family, a consistent family or others (see, e.g., Angelini and Herzel (2002)). This may give different shapes of the function H (t, T ).…”
Section: The Shape Of Z(t T ) Is Similar To That Of the Volatility Fmentioning
confidence: 99%