Managerial Finance: Volume 24 Issue 9/10

Estimation of the Nelson‐Siegel parsimonious modeling of yield curves using an exponential GARCH process

Andreas C. Christofi

Refers to previous research on the yields of default‐free securities and uses the Nelson‐Siegel model for estimating yield curve as a basis for developing a model which decomposes…

Predictability of short‐term interest rates: a multifactor model for the term structure

Tom W. Miller, Bernell Stone, Harold R. Silver

Discusses arbitrage pricing theory as a multifactor model for explaining rates of return on securities; and the use of principal components analysis to reduce the number of…

Re‐indexing the Heath, Jarrow and Morton term structure model and empirical evidence of forward function following a martingale

Chen Guo

Outlines Heath, Jarrow and Morton’s (1992) method (MJM) for modelling interest rates and refers to other research showing that although it is generally non‐Markov, this can be…

Pricing of mortgage‐backed securities with option‐adjusted spread

Jian‐Guo Liu, Eugene Xu

Notes the increasing importance of option‐adjusted spread analysis for pricing in the mortgage‐backed securities market and develops a partial differentiation equation method…

Pricing the competing risks of mortgage default and prepayment in stochastic metropolitan economies

Henry Buist, Tyler T. Yang

Outlines previous research relevant to the risks involved in residential mortgages and suggests some reasons for the gap between theory and market practice. Develops a model which…