Exact Smooth Term-Structure Estimation

Filipović, Damir; Willems, Sander

doi:10.1137/16m1080276

Cited by 9 publications

(6 citation statements)

References 21 publications

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“…In addition to incorporating seasonality, ( ) can also be chosen such that the observed dividend futures prices are perfectly matched. In Appendix A, we show how the bootstrapping method of Filipović and Willems (2018) can be used to find such a function. We do not lose any tractability with the specification in (25), as the moments of 2 − 1 can still easily be computed.…”

Section: Seasonalitymentioning

confidence: 99%

“…This can be cast in an appropriate Hilbert space as a convex variational optimization problem with linear constraints. In particular, it has a unique solution that can be solved in closed form using similar techniques as presented in Filipović and Willems (2018). By discretizing the optimization problem, a nonnegativity constraint on can be added as well.…”

Section: E N D N O T E Smentioning

confidence: 99%

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A term structure model for dividends and interest rates

Filipović

Willems

2020

Mathematical Finance

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Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump‐diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stock are given in closed form. We present an efficient moment based approximation method for option pricing. In a calibration exercise we show that a parsimonious model specification has a good fit with Euribor interest rate swaps and swaptions, Euro Stoxx 50 Index dividend futures and dividend options, and Euro Stoxx 50 Index options.

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Section: Seasonalitymentioning

confidence: 99%

Section: E N D N O T E Smentioning

confidence: 99%

A term structure model for dividends and interest rates

Filipović

Willems

2020

Mathematical Finance

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“…In addition to incorporating seasonality, δ(t) can also be chosen such that the observed dividend futures prices are perfectly matched. In Appendix A we show how the bootstrapping method of Filipović and Willems (2018) can be used to find such a function. We do not lose any tractability with the specification in (25), since the moments of C T 2 −C T 1 can still easily be computed.…”

Section: Extensions 61 Seasonalitymentioning

confidence: 99%

“…This can be cast in an appropriate Hilbert space as a convex variational optimization problem with linear constraints. In particular, it has a unique solution that can be solved in closed form using similar techniques as presented in Filipović and Willems (2018). By discretizing the optimization problem, a non-negativity constraint on f can be added as well.…”

Section: A Bootstrapping An Additive Seasonality Functionmentioning

confidence: 99%

A Term-Structure Model for Dividends and Interest Rates

Filipović

Willems

2017

SSRN Journal

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Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jumpdiffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stock are given in closed form. We present an efficient moment based approximation method for option pricing. In a calibration exercise we show that a parsimonious model specification has a good fit with Euribor interest rate swaps and swaptions, Euro Stoxx 50 index dividend futures and dividend options, and Euro Stoxx 50 index options.JEL Classification: C32, G12, G13 MSC2010 Classification: 91B70, 91G20, 91G30

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“…This is not equivalent to imposing nonarbitration restrictions. A similar objective is pursued by (Filipovic & Willems, 2018) using a non-parametric alternative to estimate the discount curve using market quotes that have maximal smoothness. Modelling separate segments of the term structure might also be useful in other context, for example to build homogeneous risk groups in order to estimate the term structure of the probability of default (Đurovic, 2019).…”

Section: Introductionmentioning

confidence: 99%

A Segmented and Observable Yield Curve for Colombia

Castro-Iragorri

Peña

Rodríguez

2021

Journal of Central Banking Theory and Practice

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Following (Almeida, Ardison, Kubudi, Simonsen, & Vicente, 2018) we implement a segmented three factor Nelson-Siegel model for the yield curve using daily observable bond prices and short term interbank rates for Colombia. The flexible estimation for each segment (short, medium, and long) provides an improvement over the classical Nelson-Siegel approach in particular in terms of in-sample and out-of-sample forecasting performance. A segmented term structure model based on observable bond prices provides a tool closer to the needs of practitioners in terms of reproducing the market quotes and allowing for independent local shocks in the different segments of the curve.

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Exact Smooth Term-Structure Estimation

Cited by 9 publications

References 21 publications

A term structure model for dividends and interest rates

A term structure model for dividends and interest rates

A Term-Structure Model for Dividends and Interest Rates

A Segmented and Observable Yield Curve for Colombia

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