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A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives
http://hdl.handle.net/10441/291
http://hdl.handle.net/10441/291af476ea0-104a-4d27-977a-a6e79ea503d8
名前 / ファイル | ライセンス | アクション |
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B4Kusuda200505.pdf (339.4 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 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 | 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 | 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 | |||||
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 et al. [8], Miltersen et al. [27], and Jamshidian [16]) is an interest rate version of the Black-Scholes model of stock price. However, a statistical test (Kusuda [22]) rejected the LM model and suggested that a jump process should be introduced into the LM model. This paper presents a jump-diffusion LM model using a general equilibrium security market model (Kusuda [21] [23] [24]) with jump-diffusion information. Approximate general equilibrium pricing formulas for caplet and swaption are derived. Also, a method of specification and estimation of the jump-diffusion LM model is presented. |
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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-4, pp. 1-21 | |||||
書誌情報 |
CRR Working Paper, Series B 号 B-4, p. 1-21, 発行日 2005-05 |
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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 |