Pricing of cap-interest rates based on renewal processes

Kurzanzeige
dc.contributor.authorBeran, Jan
dc.contributor.authorOcker, Dirkdeu
dc.date.accessioned2011-03-25T09:40:09Zdeu
dc.date.available2011-03-25T09:40:09Zdeu
dc.date.issued2002deu
dc.description.abstractPricing of cap insurance contracts is considered for political mortgage rates. A simple stochastic process for mortgage rates is proposed. The process is based on renewal processes for modelling the length of periods with downward and upward trend respectively. Prices are calculated by simulation of conditional future sample paths. Future conditional quantiles can be obtained to assess the risk of a contract. The method is illustrated by applying it to observed quarterly mortgage rates of the Swiss Union of Raiffeisenbanks for the years 1970 to 2001.eng
dc.description.versionpublished
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dc.identifier.ppn099210320deu
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/11771
dc.language.isoengdeu
dc.legacy.dateIssued2002deu
dc.relation.ispartofseriesCoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie
dc.rightsterms-of-usedeu
dc.rights.urihttps://rightsstatements.org/page/InC/1.0/deu
dc.subjectcapdeu
dc.subjectcap ratedeu
dc.subjectcap insurancedeu
dc.subjectinterest ratedeu
dc.subjectmortgagedeu
dc.subjectpremiumdeu
dc.subjectrenewal processdeu
dc.subjectpoisson processdeu
dc.subjectpredictiondeu
dc.subject.ddc330deu
dc.titlePricing of cap-interest rates based on renewal processeseng
dc.typeWORKINGPAPERdeu
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kops.citation.bibtex
@techreport{Beran2002Prici-11771,
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  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Pricing of cap-interest rates based on renewal processes},
  number={2002/10},
  author={Beran, Jan and Ocker, Dirk}
}
kops.citation.iso690BERAN, Jan, Dirk OCKER, 2002. Pricing of cap-interest rates based on renewal processesdeu
kops.citation.iso690BERAN, Jan, Dirk OCKER, 2002. Pricing of cap-interest rates based on renewal processeseng
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