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.

Detalles Bibliográficos
Autores principales: Kisbye, Noemí Patricia, Meier, Karem
Otros Autores: https://orcid.org/0000-0003-4369-7103
Formato: publishedVersion article
Lenguaje:Inglés
Publicado: 2024
Materias:
Nelson-Siegel curves
Short rate interest models
Consistency
Acceso en línea:http://hdl.handle.net/11086/553085
https://doi.org/10.4236/jmf.2017.74050
Aporte de:
Repositorio Digital Universitario (UNC) de Universidad Nacional de Córdoba
id I10-R141-11086-553085
record_format dspace
spelling I10-R141-11086-5530852024-08-06T06:35:49Z 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
institution Universidad Nacional de Córdoba
institution_str I-10
repository_str R-141
collection Repositorio Digital Universitario (UNC)
language Inglés
topic Nelson-Siegel curves
Short rate interest models
Consistency
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
topic_facet Nelson-Siegel curves
Short rate interest models
Consistency
description Fil: Kisbye, Noemí Patricia. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina.
author2 https://orcid.org/0000-0003-4369-7103
author_facet https://orcid.org/0000-0003-4369-7103
Kisbye, Noemí Patricia
Meier, Karem
format publishedVersion
article
author Kisbye, Noemí Patricia
Meier, Karem
author_sort Kisbye, Noemí Patricia
title 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_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_sort consistency of extended nelson-siegel curve families with the ho-lee and hull and white short rate models
publishDate 2024
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
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