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dc.contributor.authorLambourne, Matthew Ren_NZ
dc.date.available2011-04-07T03:15:32Z
dc.date.copyright2003-06-12en_NZ
dc.identifier.citationLambourne, M. R. (2003, June 12). Modeling interest rate dynamics: A New Zealand approach (Thesis). Retrieved from http://hdl.handle.net/10523/1436en
dc.identifier.urihttp://hdl.handle.net/10523/1436
dc.description.abstractTerm structure models use interest rate derivative products to depict the evolution of spot and forward interest rates. This study investigates the pricing performance of no-arbitrage interest rate option models using New Zealand derivatives data. One spot rate model and one forward rate model are calibrated to daily options data from 1997-2001, and model prices are estimated for each option's market price over this period. The models are tested for parameter stability, in-sample pricing errors, and systematic biases. The models are similar with regard to parameter stability, but the spot rate model outperforms the forward rate model in terms of percentage pricing errors. Both the spot rate and forward rate models have a tendency to underprice options, and they display systematic relationships with option variables (e.g. time-to-maturity) that are consistent with standard options theory.en_NZ
dc.subjectTerm structure modelsen_NZ
dc.subjectspot forward interest ratesen_NZ
dc.subjectforward interest ratesen_NZ
dc.subjectno-arbitrage interest rateen_NZ
dc.subjectNew Zealand derivatives,en_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titleModeling interest rate dynamics: A New Zealand approachen_NZ
dc.typeThesisen_NZ
dc.description.versionUnpublisheden_NZ
otago.bitstream.pages42en_NZ
otago.date.accession2007-04-04en_NZ
otago.schoolFinanceen_NZ
thesis.degree.disciplineFinanceen_NZ
thesis.degree.grantorUniversity of Otagoen_NZ
thesis.degree.levelMasters Thesesen_NZ
otago.interloanyesen_NZ
otago.openaccessAbstract Only
dc.identifier.eprints586en_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
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