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However, a statistical\ntest (Kusuda [19]) rejected the LM model, and suggested that the deterministic\nvolatility in the LIBOR market model should be replaced with a stochastic\none and/or that a jump process should be introduced into the LM model. This\npaper presents a stochastic volatility jump-diffusion LM model using a general\nequilibrium security market model of Kusuda [19]. Approximate general\nequilibrium pricing formulas for caplet and swaption are derived exploiting the\nforward martingale measure approach (Jamshidian [17]) and a Fourier transform\nmethod (Heston [16], Bates [4], and Duffie, Pan, and Singleton [13]).", "subitem_description_type": "Abstract"}]}, "item_7_description_7": {"attribute_name": "引用", "attribute_value_mlt": [{"subitem_description": "CRR Working Paper, Series B, No. B-7, pp. 1-21", "subitem_description_type": "Other"}]}, "item_7_full_name_2": {"attribute_name": "著者(ヨミ)", "attribute_value_mlt": [{"nameIdentifiers": [{"nameIdentifier": "36652", "nameIdentifierScheme": "WEKO"}], "names": [{"name": "クスダ, コウジ"}]}]}, "item_7_full_name_3": {"attribute_name": "著者別名", "attribute_value_mlt": [{"nameIdentifiers": [{"nameIdentifier": "36653", "nameIdentifierScheme": "WEKO"}], "names": [{"name": "楠田, 浩二"}]}]}, "item_7_publisher_35": {"attribute_name": "出版者", "attribute_value_mlt": [{"subitem_publisher": "Center for Risk Research (CRR), Shiga University"}]}, "item_creator": {"attribute_name": "著者", "attribute_type": "creator", "attribute_value_mlt": [{"creatorNames": [{"creatorName": "Kusuda, Koji"}], "nameIdentifiers": [{"nameIdentifier": "36651", "nameIdentifierScheme": "WEKO"}]}]}, "item_files": {"attribute_name": "ファイル情報", "attribute_type": "file", "attribute_value_mlt": [{"accessrole": "open_date", "date": [{"dateType": "Available", "dateValue": "2018-09-14"}], "displaytype": "detail", "download_preview_message": "", "file_order": 0, "filename": "B7Kusuda200508.pdf", "filesize": [{"value": "348.9 kB"}], "format": "application/pdf", "future_date_message": "", "is_thumbnail": false, "licensetype": "license_free", "mimetype": "application/pdf", "size": 348900.0, "url": {"label": "B7Kusuda200508.pdf", "url": "https://shiga-u.repo.nii.ac.jp/record/9964/files/B7Kusuda200508.pdf"}, "version_id": "7ba85044-1a8d-4ee7-896c-c9dc14b13c49"}]}, "item_keyword": {"attribute_name": "キーワード", "attribute_value_mlt": [{"subitem_subject": "Affine jump-diffusion", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Approximately complete markets", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Equilibrium pricing", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Forward martingale measure", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Fourier transform", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Interest rate derivative", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Jump-diffusion model", "subitem_subject_scheme": "Other"}, {"subitem_subject": "LIBOR", "subitem_subject_scheme": "Other"}, {"subitem_subject": "LIBOR market model", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Stochastic volatility", "subitem_subject_scheme": "Other"}]}, "item_language": {"attribute_name": "言語", "attribute_value_mlt": [{"subitem_language": "eng"}]}, "item_resource_type": {"attribute_name": "資源タイプ", "attribute_value_mlt": [{"resourcetype": "technical report", "resourceuri": "http://purl.org/coar/resource_type/c_18gh"}]}, "item_title": "A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives", "item_titles": {"attribute_name": "タイトル", "attribute_value_mlt": [{"subitem_title": "A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives"}]}, "item_type_id": "7", "owner": "1", "path": ["1168"], "permalink_uri": "http://hdl.handle.net/10441/294", "pubdate": {"attribute_name": "公開日", "attribute_value": "2009-03-26"}, "publish_date": "2009-03-26", "publish_status": "0", "recid": "9964", "relation": {}, "relation_version_is_last": true, "title": ["A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives"], "weko_shared_id": -1}
A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives
http://hdl.handle.net/10441/294
http://hdl.handle.net/10441/294b1d3f4ca-f249-4792-a8dc-a6138843784a
名前 / ファイル | ライセンス | アクション |
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B7Kusuda200508.pdf (348.9 kB)
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Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2009-03-26 | |||||
タイトル | ||||||
タイトル | A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Affine jump-diffusion | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Approximately complete markets | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Equilibrium pricing | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Forward martingale measure | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Fourier transform | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Interest rate derivative | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Jump-diffusion model | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | LIBOR | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | LIBOR market model | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Stochastic volatility | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
資源タイプ | technical report | |||||
著者 |
Kusuda, Koji
× Kusuda, Koji |
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著者(ヨミ) | ||||||
姓名 | クスダ, コウジ | |||||
著者別名 | ||||||
姓名 | 楠田, 浩二 | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | The LIBOR market (LM) model (Brace, Gatarek, and Musiela [8], Miltersen, Sandmann, Sondermann [21], and Jamshidian [18]) is a HeathJarrow-Morton model (Heath, Jarrow, and Morton [15]) specified to be an interest rate version of the celebrated Black-Scholes model of stock price, and is the most popular among practitioners and researchers. However, a statistical test (Kusuda [19]) rejected the LM model, and suggested that the deterministic volatility in the LIBOR market model should be replaced with a stochastic one and/or that a jump process should be introduced into the LM model. This paper presents a stochastic volatility jump-diffusion LM model using a general equilibrium security market model of Kusuda [19]. Approximate general equilibrium pricing formulas for caplet and swaption are derived exploiting the forward martingale measure approach (Jamshidian [17]) and a Fourier transform method (Heston [16], Bates [4], and Duffie, Pan, and Singleton [13]). |
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引用 | ||||||
内容記述タイプ | Other | |||||
内容記述 | CRR Working Paper, Series B, No. B-7, pp. 1-21 | |||||
書誌情報 |
CRR Working Paper, Series B 号 B-7, p. 1-21, 発行日 2005-08 |
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出版者 | ||||||
出版者 | Center for Risk Research (CRR), Shiga University | |||||
資源タイプ | ||||||
内容記述タイプ | Other | |||||
内容記述 | Technical Report |