English, Article edition: IMPLIED KERNEL MODELS PETER WEIGEL

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Bookmark: http://trove.nla.gov.au/version/83037
Physical Description
  • article
Language
  • English

Edition details

Title
  • IMPLIED KERNEL MODELS
Author
  • PETER WEIGEL
Physical Description
  • article
Notes
  • We develop a class of models within the pricing kernel framework, i.e., we model the pricing kernel directly, and not a particular interest rate or a set of rates. The construction of the kernel is explicitly linked to the calibrating set of instruments. Thus, once the kernel is constructed it will price correctly the chosen set of instruments, and have a low-dimensional Markov structure. We test our model on yield, at-the-money cap, caplet implied volatility surface, and swaption data. The quality of fit is very good.
  • Term structure of interest rates, derivative pricing, pricing kernel, radial and ridge functions
  • RePEc:wsi:ijtafx:v:08:y:2005:i:05:p:575-601
Language
  • English
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