Browsing FGV EPGE - Seminários de Pesquisa Econômica by Author "Almeida, Caio Ibsen Rodrigues de"

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Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Almeida, Caio Ibsen Rodrigues de
2005-02-03

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate ...
Do options contain information about excess bond returns ?

Almeida, Caio Ibsen Rodrigues de
2006-02-23

There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the im- pact of ...