A1273
Title: A new term structure model for pricing bonds
Authors: Ioannis Paraskevopoulos - Universidad Pontificia Comillas (Spain) [presenting]
Abstract: A novel stochastic term structure interest rate model is presented to describe the evolutions of level, slope and curvature of the yield curve. We use it to price all green and non-green bonds within an arbitrage-free dynamic term structure model and we link it with a previous yield curve while we extend certain specifications. We test our model using large bond data set, including green and nongreen, vanilla bonds. A stochastic Kalman Filter model will be employed to test the robustness of the calibration of this model to the market data.
