多屈服曲线动力学的简约HJM模型

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

摘要翻译：
长期以来，利率模型建立在单一的收益率曲线上，用于贴现和转发。然而，过去几年影响金融市场的危机导致市场参与者修改了这一假设，并适应基差互换利差，基差互换利差的显著扩大再也不能忽视了。在最近的文献中，我们发现了许多关于多曲线利率模型的建议，其校准通常需要所有收益率曲线的市场报价。目前，这是不可能的，因为大多数报价缺失或极其缺乏流动性。由于对HJM框架的适当扩展，我们提出了一个基于观察率的简约模型，该模型从单个马尔可夫过程族中推导出收益率曲线动力学。此外，我们还详细说明了模型报告对引用的市场数据进行校正的数值例子。
---
英文标题：
《Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics》
---
作者：
Nicola Moreni and Andrea Pallavicini
---
最新提交年份：
2010
---
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
--

---
英文摘要：
  For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led market players to revise this assumption and accommodate basis-swap spreads, whose remarkable widening can no longer be neglected. In recent literature we find many proposals of multi-curve interest-rate models, whose calibration would typically require market quotes for all yield curves. At present this is not possible since most of the quotes are missing or extremely illiquid. Thanks to a suitable extension of the HJM framework, we propose a parsimonious model based on observed rates that deduces yield-curve dynamics from a single family of Markov processes. Furthermore, we detail a specification of the model reporting numerical examples of calibration to quoted market data.
---
PDF链接：
https://arxiv.org/pdf/1011.0828

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：HJM 动力学 parsimonious Quantitative calibration 收益率 model market 利率 发现