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Short-term interest rate models: valuing interest rate derivatives using a Monte-Carlo approach

Article Abstract:

An accessible description of how to use Monte-Carlo simulation to value interest rate derivatives when the short rate follows an arbitrary time series process, with some examples is provided. In addition, an empirical comparison of the advantages and disadvantages of the simulation approach against competing approaches is also presented.

Author: Treepongkaruna, Sirimon, Gray, Stephen
Publisher: Blackwell Publishers Ltd.
Publication Name: Accounting and Finance
Subject: Business
ISSN: 0810-5391
Year: 2003
Analysis, Monte Carlo method, Monte Carlo methods, Short-term financing, Short term financing

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Bayesian comparison of several continuous time models of the Australian short rate

Article Abstract:

Bayesian analysis of 90-day interest rates for Australia between January 1990 and July 2000 shows that the greatest posterior probability of all alternative single-factor continuous time models considered is the square root diffusion model.

Author: Sanford, Andrew D., Martin, Gael M.
Publisher: Blackwell Publishers Ltd.
Publication Name: Accounting and Finance
Subject: Business
ISSN: 0810-5391
Year: 2006
Australia, Methods, Models, Bayesian statistical decision theory, Bayesian analysis, Comparative analysis, Economic forecasting, Econometric models

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Relationship between franking credits and the market risk premium

Article Abstract:

Franking tax credits in business enterprises and its relationship with stock market risk premium rates is analyzed.

Author: Gray, Stephen, Hall, Jason
Publisher: Blackwell Publishers Ltd.
Publication Name: Accounting and Finance
Subject: Business
ISSN: 0810-5391
Year: 2006
Evaluation, Stocks, Stock prices, Tax credits

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Subjects list: United States, Forecasts and trends, Interest rates, Market trend/market analysis
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