英文标题：
《The Hull-White Model under Volatility Uncertainty》
---
作者：
Julian H\\\"olzermann
---
最新提交年份：
2021
---
英文摘要：
We study the Hull-White model for the term structure of interest rates in the presence of volatility uncertainty. The uncertainty about the volatility is represented by a set of beliefs, which naturally leads to a sublinear expectation and a G-Brownian motion. The main question in this setting is how to find an arbitrage-free term structure. This question is crucial, since we can show that the classical approach, martingale modeling, does not work in the presence of volatility uncertainty. Therefore, we need to adjust the model in order to find an arbitrage-free term structure. The resulting term structure is affine with respect to the short rate and the adjustment factor. Although the adjustment changes the structure of the model, it is still consistent with the traditional Hull-White model after fitting the yield curve. In addition, we extend the model and the results to a multifactor version, driven by multiple risk factors.
---
中文摘要：
我们研究了存在波动不确定性时利率期限结构的赫尔-怀特模型。波动率的不确定性由一组信念表示，这自然会导致次线性期望和G-布朗运动。这种情况下的主要问题是如何找到无套利期限结构。这个问题至关重要，因为我们可以证明，经典方法鞅建模在存在波动性不确定性的情况下不起作用。因此，我们需要调整模型，以找到无套利期限结构。由此产生的期限结构与短期利率和调整因子密切相关。虽然调整改变了模型的结构，但在拟合屈服曲线后，仍然与传统的赫尔-怀特模型一致。此外，我们将模型和结果扩展到多因素版本，由多个风险因素驱动。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
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：
-->