VALUATION OF DERIVATIVE ASSETS UNDER CYCLICAL MEAN-REVERSION PROCESSES FOR SPOT PRICES

- This book studies the stochastic behaviour of interest rates and commodity prices, extending the existing literature by allowing the underlying state variable to capture any possible seasonal or cyclical behaviour. In the first chapter, we propose a new model for the term structure of interest rates assuming that the instantaneous spot rate converges to a cyclical long-term level characterized by a Fourier series. Under this framework, we derive analytical expressions for the valuation of bonds ... | Paginas: 54 | Medidas: 240x175