Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Stochastic modeling of yield curve shifts usingfunctional data analysis
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2014 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Stokastisk modellering av räntekurvor (Swedish)
Abstract [en]

This thesis approaches the problem of modeling the multivariate distribution of interest rates by implementing a novel tool of statistics known as functional data analysis (FDA). This is done by viewing yield curve shifts as distinct but continuous stochastic objects defined over a continuum of maturities. Based on these techniques, we provide two stochastic models with different assumptions regarding the temporal dependence of yield curve shifts and compare their performance with empirical data. The study finds that both models replicate the distributions of yield changes with medium- and long-term maturities, whereas none of the models perform satisfactory at the short segment of the yield curve. Both models, however, appear to accurately capture the cross-sectional dependence.

Place, publisher, year, edition, pages
2014.
Series
TRITA-MAT-E, 2014-38
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-147342OAI: oai:DiVA.org:kth-147342DiVA: diva2:729542
External cooperation
Handelsbanken Capital Markets
Subject / course
Mathematical Statistics
Educational program
Master of Science - Mathematics
Supervisors
Examiners
Available from: 2014-06-26 Created: 2014-06-26 Last updated: 2014-06-26Bibliographically approved

Open Access in DiVA

fulltext(1781 kB)215 downloads
File information
File name FULLTEXT01.pdfFile size 1781 kBChecksum SHA-512
ba191ac5b21ed8525d6841c6644fde2ac3a81346fa557d8fe7ce51c839e2e1050c386e50111e673af36f7bb28600287f027fd7bdcdad85ea425e96e1afc6fbd6
Type fulltextMimetype application/pdf

By organisation
Mathematical Statistics
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 215 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 106 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf