英文标题：
《Consistent Re-Calibration of the Discrete-Time Multifactor Vasi\\v{c}ek
Model》
---
作者：
Philipp Harms, David Stefanovits, Josef Teichmann, Mario V. W\\\"uthrich
---
最新提交年份：
2016
---
英文摘要：
The discrete-time multifactor Vasi\\v{c}ek model is a tractable Gaussian spot rate model. Typically, two- or three-factor versions allow one to capture the dependence structure between yields with different times to maturity in an appropriate way. In practice, re-calibration of the model to the prevailing market conditions leads to model parameters that change over time. Therefore, the model parameters should be understood as being time-dependent or even stochastic. Following the consistent re-calibration (CRC) approach, we construct models as concatenations of yield curve increments of Hull-White extended multifactor Vasi\\v{c}ek models with different parameters. The CRC approach provides attractive tractable models that preserve the no-arbitrage premise. As a numerical example, we fit Swiss interest rates using CRC multifactor Vasi\\v{c}ek models.
---
中文摘要：
离散时间多因素Vasi\\v{c}ek模型是一个易于处理的高斯即期汇率模型。通常，两个或三个因素的版本允许一个以适当的方式捕捉到不同到期时间的收益率之间的依赖结构。在实践中，根据当前市场条件重新校准模型会导致模型参数随时间变化。因此，应将模型参数理解为时间相关的，甚至是随机的。遵循一致性重新校准（CRC）方法，我们将模型构建为具有不同参数的赫尔-怀特扩展多因素Vasi{c}ek模型的产量曲线增量的串联。CRC方法提供了有吸引力的易于处理的模型，保持了无套利的前提。作为一个数值例子，我们使用CRC多因素Vasi{c}ek模型拟合瑞士利率。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->