{"created":"2023-05-15T15:30:31.440533+00:00","id":9960,"links":{},"metadata":{"_buckets":{"deposit":"c3bb5ec9-a869-408c-960c-ee10a4259188"},"_deposit":{"created_by":1,"id":"9960","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"9960"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00009960","sets":["1159:1166:1168"]},"author_link":["36632","36634","36633"],"item_7_biblio_info_8":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2004-11","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"B-3","bibliographicPageEnd":"18","bibliographicPageStart":"1","bibliographic_titles":[{"bibliographic_title":"CRR Working Paper, Series B"}]}]},"item_7_description_43":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"subitem_description":"Technical Report","subitem_description_type":"Other"}]},"item_7_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"LIBOR market (LM) model is an interest rate version of the BlackScholes\nmodel of stock price. Extended LM models including constant elasticity\nof volatility models and affine volatility models have been proposed to explain the\nobservation that implied volatilities of forward LIBOR rates depend on caps’ rates\nin the LM model. This paper proposes methods of specifying the dimensionality\nof Wiener process and the functional form on forward LIBOR rates’ volatilities in\nthe extended LM models, and presents a test for the extended LM models. The\nresult of the test using the Eurodollar future rates traded in the Chicago Mercantile\nExchange rejected all of the extended LM models.","subitem_description_type":"Abstract"}]},"item_7_description_7":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"CRR Working Paper, Series B, No. B-3, pp. 1-18","subitem_description_type":"Other"}]},"item_7_full_name_2":{"attribute_name":"著者(ヨミ)","attribute_value_mlt":[{"nameIdentifiers":[{}],"names":[{"name":"クスダ, コウジ"}]}]},"item_7_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{}],"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":[{}]}]},"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","filename":"B3Kusuda200411.pdf","filesize":[{"value":"251.5 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"B3Kusuda200411.pdf","url":"https://shiga-u.repo.nii.ac.jp/record/9960/files/B3Kusuda200411.pdf"},"version_id":"9d0c6989-0fd1-47b8-a606-ecef599fc6a3"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Diffusion process","subitem_subject_scheme":"Other"},{"subitem_subject":"Empirical analysis","subitem_subject_scheme":"Other"},{"subitem_subject":"Factor analysis","subitem_subject_scheme":"Other"},{"subitem_subject":"LIBOR market model","subitem_subject_scheme":"Other"},{"subitem_subject":"Specification","subitem_subject_scheme":"Other"},{"subitem_subject":"Test","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":"Specification and Test of Extended LIBOR Market Models","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Specification and Test of Extended LIBOR Market Models"}]},"item_type_id":"7","owner":"1","path":["1168"],"pubdate":{"attribute_name":"公開日","attribute_value":"2009-03-26"},"publish_date":"2009-03-26","publish_status":"0","recid":"9960","relation_version_is_last":true,"title":["Specification and Test of Extended LIBOR Market Models"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-05-15T19:17:38.709158+00:00"}