Empirical studies on the pricing of bonds and interest rate derivatives

Research output: ThesisDoctoral ThesisScientific

335 Downloads (Pure)

Abstract

Nowadays, both large financial and non-financial institutions use models for the term structure of interest rates for risk management and pricing purposes. This thesis focuses on these two important applications of term structure models. In the first part, the empirical performance of several term structure models for the pricing and risk management of bonds is investigated. The applications in this part focus on modelling international bond returns, the pricing of bonds that are subject to default risk, and the role of transaction costs of bonds in testing term structure models. The second part of the thesis focuses on the pricing and hedging of interest rate derivatives. This part includes an analysis of the relevant number of term structure factors for the pricing and hedging of interest rate derivatives, and an empirical comparison of the recently developed market models. Finally, the benefits of combining interest rate data and derivative price data for estimating and testing term structure models are analyzed.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Nijman, Theo, Promotor
  • Melenberg, Bertrand, Promotor
Award date6 Jun 2001
Place of PublicationTilburg
Publisher
Print ISBNs9056680803
Publication statusPublished - 2001

Fingerprint

Empirical study
Interest rate derivatives
Pricing
Term structure models
Hedging
Risk management
Testing
Derivatives
Market model
Term structure of interest rates
Transaction costs
Default risk
Bond returns
Interest rates
Factors
Term structure
Modeling

Cite this

Driessen, J.J.A.G.. / Empirical studies on the pricing of bonds and interest rate derivatives. Tilburg : CentER, Center for Economic Research, 2001. 252 p.
@phdthesis{599db9fb5249428c8f8a8df88649ae4e,
title = "Empirical studies on the pricing of bonds and interest rate derivatives",
abstract = "Nowadays, both large financial and non-financial institutions use models for the term structure of interest rates for risk management and pricing purposes. This thesis focuses on these two important applications of term structure models. In the first part, the empirical performance of several term structure models for the pricing and risk management of bonds is investigated. The applications in this part focus on modelling international bond returns, the pricing of bonds that are subject to default risk, and the role of transaction costs of bonds in testing term structure models. The second part of the thesis focuses on the pricing and hedging of interest rate derivatives. This part includes an analysis of the relevant number of term structure factors for the pricing and hedging of interest rate derivatives, and an empirical comparison of the recently developed market models. Finally, the benefits of combining interest rate data and derivative price data for estimating and testing term structure models are analyzed.",
author = "J.J.A.G. Driessen",
year = "2001",
language = "English",
isbn = "9056680803",
series = "CentER Dissertation Series",
publisher = "CentER, Center for Economic Research",
school = "Tilburg University",

}

Driessen, JJAG 2001, 'Empirical studies on the pricing of bonds and interest rate derivatives', Doctor of Philosophy, Tilburg University, Tilburg.

Empirical studies on the pricing of bonds and interest rate derivatives. / Driessen, J.J.A.G.

Tilburg : CentER, Center for Economic Research, 2001. 252 p.

Research output: ThesisDoctoral ThesisScientific

TY - THES

T1 - Empirical studies on the pricing of bonds and interest rate derivatives

AU - Driessen, J.J.A.G.

PY - 2001

Y1 - 2001

N2 - Nowadays, both large financial and non-financial institutions use models for the term structure of interest rates for risk management and pricing purposes. This thesis focuses on these two important applications of term structure models. In the first part, the empirical performance of several term structure models for the pricing and risk management of bonds is investigated. The applications in this part focus on modelling international bond returns, the pricing of bonds that are subject to default risk, and the role of transaction costs of bonds in testing term structure models. The second part of the thesis focuses on the pricing and hedging of interest rate derivatives. This part includes an analysis of the relevant number of term structure factors for the pricing and hedging of interest rate derivatives, and an empirical comparison of the recently developed market models. Finally, the benefits of combining interest rate data and derivative price data for estimating and testing term structure models are analyzed.

AB - Nowadays, both large financial and non-financial institutions use models for the term structure of interest rates for risk management and pricing purposes. This thesis focuses on these two important applications of term structure models. In the first part, the empirical performance of several term structure models for the pricing and risk management of bonds is investigated. The applications in this part focus on modelling international bond returns, the pricing of bonds that are subject to default risk, and the role of transaction costs of bonds in testing term structure models. The second part of the thesis focuses on the pricing and hedging of interest rate derivatives. This part includes an analysis of the relevant number of term structure factors for the pricing and hedging of interest rate derivatives, and an empirical comparison of the recently developed market models. Finally, the benefits of combining interest rate data and derivative price data for estimating and testing term structure models are analyzed.

M3 - Doctoral Thesis

SN - 9056680803

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

Driessen JJAG. Empirical studies on the pricing of bonds and interest rate derivatives. Tilburg: CentER, Center for Economic Research, 2001. 252 p. (CentER Dissertation Series).