摘要翻译:
本文提出了一个无套利的非参数收益率曲线预测模型,该模型以完整的(离散化的)收益率曲线为状态变量。我们认为,在数据高度相关的情况下,没有套利是一个重要的模型特征,就像利率一样。此外,模型结构允许明确地分离估计波动性结构和校准市场风险价格的任务。实证部分包括对模型假设的检验、回测以及与VASI\V{c}ek短期利率模型的比较。
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英文标题:
《Consistent Long-Term Yield Curve Prediction》
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作者:
Josef Teichmann and Mario V. W\"uthrich
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最新提交年份:
2012
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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
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一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要:
We present an arbitrage-free non-parametric yield curve prediction model which takes the full (discretized) yield curve as state variable. We believe that absence of arbitrage is an important model feature in case of highly correlated data, as it is the case for interest rates. Furthermore, the model structure allows to separate clearly the tasks of estimating the volatility structure and of calibrating market prices of risk. The empirical part includes tests on modeling assumptions, back testing and a comparison with the Vasi\v{c}ek short rate model.
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PDF链接:
https://arxiv.org/pdf/1203.2017