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Term Structure Modeling at the Zero ...

Nie, Yutian.

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Term Structure Modeling at the Zero Lower Bound.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Term Structure Modeling at the Zero Lower Bound./
Author:	Nie, Yutian.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2017,
Description:	123 p.
Notes:	Source: Dissertation Abstracts International, Volume: 79-03(E), Section: B.
Contained By:	Dissertation Abstracts International79-03B(E).
Subject:	Industrial engineering. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10606903
ISBN:	9780355297287

Term Structure Modeling at the Zero Lower Bound.
Nie, Yutian.

Term Structure Modeling at the Zero Lower Bound. - Ann Arbor : ProQuest Dissertations & Theses, 2017 - 123 p.

Source: Dissertation Abstracts International, Volume: 79-03(E), Section: B.

Thesis (Ph.D.)--Northwestern University, 2017.

Zero interest rates (or negative interest rates) have been observed in a number of countries and regions in the world. Unlike normal interest regimes where the yield curve usually evolves as a whole, under the zero interest rate policy (ZIRP), the short end of the yield curve is pinned to the zero lower bound (ZLB) while the long end continues to move freely. This phenomenon poses a severe challenge to classic short rate models.

ISBN: 9780355297287Subjects--Topical Terms:

526216
Industrial engineering.

Term Structure Modeling at the Zero Lower Bound.
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100 1 $a Nie, Yutian. $3 3351993
245 1 0 $a Term Structure Modeling at the Zero Lower Bound.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2017
300 $a 123 p.
500 $a Source: Dissertation Abstracts International, Volume: 79-03(E), Section: B.
500 $a Adviser: Vadim Linetsky.
502 $a Thesis (Ph.D.)--Northwestern University, 2017.
520 $a Zero interest rates (or negative interest rates) have been observed in a number of countries and regions in the world. Unlike normal interest regimes where the yield curve usually evolves as a whole, under the zero interest rate policy (ZIRP), the short end of the yield curve is pinned to the zero lower bound (ZLB) while the long end continues to move freely. This phenomenon poses a severe challenge to classic short rate models.
520 $a In this dissertation, we study three types of short rate models designed for modeling the term structure of interest rates under the ZIRP. The first is due to Black (1995) where interest rates are viewed as options on underlying variables called the shadow rates. The second extends Black's shadow rate model by allowing different model parameters in the normal and zero interest rate regimes. The third is based on the theory of diffusion processes with sticky boundary. We present the eigenfunction expansion method for pricing interest rate instruments, specifically zero-coupon bonds, under one-factor versions of the ZIRP models, and obtain the solution through numerical PDE method under multi-factor ZIRP models. Then we empirically estimate one- and multi-factor ZIRP models with historical US Treasury yield curve data using the extended Kalman filter.
590 $a School code: 0163.
650 4 $a Industrial engineering. $3 526216
650 4 $a Economic theory. $3 1556984
650 4 $a Management. $3 516664
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710 2 $a Northwestern University. $b Industrial Engineering and Management Sciences. $3 1023502
773 0 $t Dissertation Abstracts International $g 79-03B(E).
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791 $a Ph.D.
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793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10606903