The Surprise Element: Jumps in Interest Rates

By Sanjiv Ranjan Das. 2002

372 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/894d330fc1277527cecfb598835c53330dd0ffe4

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Citations in the corpus

Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics (2011, neutral): “For instance, Jorion (1988) considers a constant jump intensity; Das (2002) proposes a model with different regimes for both the jump intensity and the unconditional volatility; Eraker (2004) models the jump intensity as an affine function of a stochastic volatility component; Maheu and McCurdy…”
Term Structure Dynamics in Theory and Reality (2003, background): “For instance, Das [2002], Johannes [2000], and Zhou [2001] find that jump-diffusion models fit the conditional distribution of short-term interest rates better than the nested diffusion models they examine.”
THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS (2007, positive): “The list of publications in mathematical finance literature, where the eigenfunction expansion technique is applied to pricing derivative securities, is fairly extensive – see Lewis (1998, 1999), Linetsky (1999, 2004a-2004e), Davidov and Linetsky (2003), Gorovoi and Linetsky (2004), Pelsser (2000), ”
Pricing Interest Rate Derivatives: A General Approach (2002, background): “…such as Brennan and Schwartz (1977), Duffie and Singleton (1997), Longstaff and Schwartz (1992), and Balduzzi, Das, and Foresi (1998), as well as jump-diffusion models such as Ahn and Thompson (1988), Bakshi and Madan (2000), Das and Foresi (1996), Das (1998), and Duffie, Pan, and Singleton (2000).”
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns (2004, positive): “Bekaert and Gray (1998), Das (2002), and Neely (1999) allow financial and macroeconomic variables to affect the jump intensity.”
Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2005, neutral): “Of course, this may not be surprising given the overwhelming evidence of stochastic volatility [e.g., Andersen and Lund (1997)] and jumps [e.g., Johannes (2004) and Das (2002)] in interest rates.”
Whishart Quadratic Term Structure Models (2003, neutral): “Note that 16 See e.g. Ahn and Thompson (1988), Gray (1996), Evans (2000), Ang and Bekaert (2001), Piazzesi (2003), Das (2002), Bansal and Zhou (2002), Dai, Singleton, and Yang (2003). this nonlinear feature arises while the model is a special affine term structure model.”
Nonlinear Mean Reversion in the Short-Term Interest Rate (2003, positive): “Examples of stochastic mean models may be found in the articles by Andersen and Lund (1997), Balduzzi, Das, and Foresi (1996), Jegadeesh and Pennacci (1996), and Piazzesi (2001), among others.”
The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models (2004, background): “On the empirical side, this paper is closely related to Das (2001).”
Robust numerical methods for contingent claims under jump diffusion processes (2005, background): “Examples include Jorion (1988) and Bates (1996) in the case of foreign exchange rates, Das (2002) in the case of interest rates, Bakshi and Cao (2002) in the case of options on individual stocks, and, most prominently, a large number of papers in the general area of stock index and stock index fut”