英文标题：
《Unspanned Stochastic Volatility in the Multi-factor CIR Model》
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作者：
Damir Filipovi\\\'c, Martin Larsson, Francesco Statti
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最新提交年份：
2018
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英文摘要：
Empirical evidence suggests that fixed income markets exhibit unspanned stochastic volatility (USV), that is, that one cannot fully hedge volatility risk solely using a portfolio of bonds. While [1] showed that no two-factor Cox-Ingersoll-Ross (CIR) model can exhibit USV, it has been unknown to date whether CIR models with more than two factors can exhibit USV or not. We formally review USV and relate it to bond market incompleteness. We provide necessary and sufficient conditions for a multi-factor CIR model to exhibit USV. We then construct a class of three-factor CIR models that exhibit USV. This answers in the affirmative the above previously open question. We also show that multi-factor CIR models with diagonal drift matrix cannot exhibit USV.
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中文摘要：
经验证据表明，固定收益市场表现出非计划随机波动性（USV），也就是说，仅使用债券组合无法完全对冲波动性风险。虽然[1]表明，没有双因素Cox-Ingersoll-Ross（CIR）模型能够显示USV，但迄今为止，具有两个以上因素的CIR模型是否能够显示USV还不得而知。我们正式审查了USV，并将其与债券市场的不完整性联系起来。我们提供了多因素CIR模型显示USV的充要条件。然后，我们构建了一类显示USV的三因素CIR模型。这肯定地回答了上述先前的未决问题。我们还表明，具有对角漂移矩阵的多因子CIR模型不能显示USV。
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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
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