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dc.contributor.author
Forzani, Liliana Maria
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dc.contributor.author
Tolmasky, Carlos F.
dc.date.available
2017-12-15T17:35:33Z
dc.date.issued
2015-01
dc.identifier.citation
Tolmasky, Carlos F.; Forzani, Liliana Maria; On the level-slope-curvature effect in yield curves and eventual total positivity; Siam Publications; SIAM Journal on Financial Mathematics; 6; 1; 1-2015; 900-918
dc.identifier.uri
http://hdl.handle.net/11336/30774
dc.description.abstract
Principal components analysis has become widely used in a variety of fields. In finance and, more specifically, in the theory of interest rate derivative modeling, its use has been pioneered by Litterman and Scheinkman [J. Fixed Income, 1 (1991), pp. 54--61]. Their key finding was that a few components explain most of the variance of treasury zero-coupon rates and that the first three eigenvectors represent level, slope, and curvature (LSC) changes on the curve. This result has been, since then, observed in various markets. Over the years, there have been several attempts at modeling correlation matrices displaying the observed effects as well as trying to understand what properties of those matrices are responsible for them. Using recent results of the theory of total positiveness [O. Kushel, Matrices with Totally Positive Powers and Their Generalizations, 2014], we characterize these matrices and, as an application, we shed light on the critique to the methodology raised by Lekkos [J. Derivatives, 8 (2000), pp. 72--83].
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
Siam Publications
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dc.rights
info:eu-repo/semantics/openAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subject
Interest Rate Models
dc.subject
Totally Positive Matrices
dc.subject
Principal Components Analysis
dc.subject.classification
Matemática Pura
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dc.subject.classification
Matemáticas
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dc.subject.classification
CIENCIAS NATURALES Y EXACTAS
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dc.title
On the level-slope-curvature effect in yield curves and eventual total positivity
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2017-12-12T18:15:18Z
dc.identifier.eissn
1945-497X
dc.journal.volume
6
dc.journal.number
1
dc.journal.pagination
900-918
dc.journal.pais
Estados Unidos
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dc.description.fil
Fil: Forzani, Liliana Maria. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Santa Fe. Instituto de Matemática Aplicada del Litoral. Universidad Nacional del Litoral. Instituto de Matemática Aplicada del Litoral; Argentina
dc.description.fil
Fil: Tolmasky, Carlos F.. University of Minnesota; Estados Unidos
dc.journal.title
SIAM Journal on Financial Mathematics
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/http://epubs.siam.org/doi/10.1137/140998354
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1137/140998354
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