Browsing FGV EPGE - Ensaios Econômicos by Subject "Taxas de juros - Modelos matemáticos"

Now showing items 1-2 of 2

    • Estimating the term structure of volatility and fixed income derivative pricing 

      Issler, João Victor
      1995-10
      Estimating the parameters of the instantaneous spot interest rate process is of crucial importance for pricing fixed income derivative securities. This paper presents an estimation for the parameters of the Gaussian interest ...

    • A model to estimate the US term structure of interest rates 

      Duarte Junior, Antonio Marcos; Werlang, Sérgio Ribeiro da Costa
      1995-10
      The US term structure of interest rates plays a central role in fixed-income analysis. For example, estimating accurately the US term structure is a crucial step for those interested in analyzing Brazilian Brady bonds such ...