Show simple item record

dc.contributor.authorTamagushiku, Cedreeceen_NZ
dc.date.available2011-04-07T03:15:02Z
dc.date.copyright2006-03en_NZ
dc.identifier.citationTamagushiku, C. (2006, March). Heath, Jarrow and Morton interest rate modelling using principal component analysis (Thesis, Master of Business). Retrieved from http://hdl.handle.net/10523/1378en
dc.identifier.urihttp://hdl.handle.net/10523/1378
dc.description.abstractThe purpose of this paper is to investigate the performance of three different models in the pricing of call options on ninety-day bank bill futures traded on the Sydney Futures Exchange between 1993 and 2000. The three models analysed are embedded into the Heath, Jarrow, and Morton framework namely; the one, two, and three factor models. Principal Components Analysis was applied in order to provide the forward rate volatility functions necessary to implement several popular multi-factor versions of the Heath, Jarrow, and Morton model. Results showed that the three-factor model consistently outperforms the one and two-factor models. Also the pricing errors are positively correlated with the time to maturity of the option and that no real relationship existed between the errors of one and two-factor models and the date and the moneyness of the options. Although three-factor models exhibited lower errors as time progressed.en_NZ
dc.format.mimetypeapplication/pdf
dc.subjectperformanceen_NZ
dc.subjectmodelsen_NZ
dc.subjectninety-day bank billen_NZ
dc.subjectSydney Futures Exchangeen_NZ
dc.subject1993 and 2000en_NZ
dc.subjectHeathen_NZ
dc.subjectJarrowen_NZ
dc.subjectand Morton frameworken_NZ
dc.subjectoneen_NZ
dc.subjecttwoen_NZ
dc.subjectand three factoren_NZ
dc.subjectPrincipal Components Analysisen_NZ
dc.subjectforward rate volatilityen_NZ
dc.subjectmaturity of the option,en_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titleHeath, Jarrow and Morton interest rate modelling using principal component analysisen_NZ
dc.typeThesisen_NZ
dc.description.versionUnpublisheden_NZ
otago.bitstream.pages30en_NZ
otago.date.accession2006-08-26en_NZ
otago.schoolFinanceen_NZ
thesis.degree.disciplineFinanceen_NZ
thesis.degree.nameMaster of Business
thesis.degree.grantorUniversity of Otagoen_NZ
thesis.degree.levelMasters Thesesen_NZ
otago.openaccessOpen
dc.identifier.eprints330en_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
dc.description.referencesAllen, D.E., and Chau, I., 1999, "A test of various pricing models on options on Australian bank and bill futures", School of Finance and Economics, Cowan University. Amin, K., and Morton, A., 1994, "Implied volatility functions in arbitrage free term structure models", Journal of Financial Economics, 35, 141-180. Black, F., E. Derman, and W. Toy, 1990, "A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options," Financial Analysts Journal, Jan-Feb. 33- 39. Buhler, W., Uhrig-Homburg, M., Walter, U., and Weber, T., 1999, "An empirical comparison of forward rate and spot rate models for valuing interest rate options", The Journal of Finance, 54, 269-305. Dempster, P., 2001, "An empirical examination of single factor interest rate models: An Australian perspective", Unpublished Master's thesis, Department of Finance and Quantitative Analysis, University of Otago. Dempster, P., J.S. Chaput, and A.F. Stent, "A comparison of interest rate option models on Australian Bank Bill Futures", Working Paper, October, 2004, Department of Finance and Quantitative Analysis, University of Otago. Flesaker, B., 1993, "Testing the Heath-Jarrow-Morton/Ho-Lee model of interest rate contingent claims pricing", Journal of Financial and Quantitative Analysis, 28, 483- 495. Heath, D., Jarrow, R., and Morton, A., 1992, "Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuations", Econometrica, 60, 77-105. Heath, D., Jarrow, R., Morton, A., and Spindle M., 1992, "Easier done than said", Risk, 5, 77-80. Ho, T. S. Y., and S.B. Lee, 1986, "Term Structure Movements and Pricing of Interest Rate Claims", Journal of Finance, 41, 1011-1029. Jarrow, R.A., Modeling Fixed-Income Securities and Interest Rate Options, Stanford, 2002. Lieu, D., 1990, "Option pricing with futures-style margining", Journal of Futures Markets, 10, 327-338. Litterman, R., Scheinkman, J., 1991, "Common factors affecting bond returns", Journal of Fixed Income, 1, 54-61. Sherris, M., 1998, "Interest rate risk factors in the Australian bond market", Unpublished paper. Vasicek, 0. A., 1977, "An Equilibrium Characterization of the Term Structure," Journal of Financial Economics, 5, 177-188. Computer programs Matlab Release 13 v6.5, 2005, The Mathworks, Inc. R, 2005, A Language and Environment for Statistical Computingen_NZ
 Find in your library

Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record