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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 |
|---|---|---|
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 | |||||||
