The Market Price of Interest-rate Risk: Measuring and Modelling Fear and Greed in the Fixed-income Markets by Riaz Ahmad & Paul Wilmott
Abstract: In this paper we examine the statistical properties of the spot interest rate and the yield curve, using US data, to identify the behaviour of the market price of interest rate risk. This is then also examined statistically so that a two-factor interest rate model is developed.
advertise on wilmott.com or in our magazine, contact email@example.com.
Because more people visit wilmott.com, more often and stay for longer
than any other quant site we can deliver unbeatable value for money!
6,000 Forum posts per month
Over 90,000 members
Over 50,000 visitors every week
10 million hits per month