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SSRN Electronic Journal
Article . 2001 . Peer-reviewed
Data sources: Crossref
The Journal of Fixed Income
Article . 2003 . Peer-reviewed
Data sources: Crossref
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Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?

Authors: Massoud Heidari; Liuren WU;

Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?

Abstract

We investigate whether the same finite dimensional dynamic system spans both interest rates (the yield curve) and interest rate options (the implied volatility surface). We find that the options market exhibits factors independent of the underlying yield curve. While three common factors are adequate to capture the systematic movement of the yield curve, we need three additional factors to capture the movement of the implied volatility surface.

Keywords

Factors; principal component; LIBOR; swaps; swaptions; yield curve; implied volatility surface., jel: jel:E43, jel: jel:G12

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    79
    popularity
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    Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
79
Top 10%
Top 10%
Top 10%
bronze