The Q-Measure Dynamics of Forward Rates

IF 5 3区 经济学 Q1 BUSINESS, FINANCE
R. Rebonato
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引用次数: 0

Abstract

I review how the theoretical modeling of the dynamics of forward rates in the context of derivatives pricing has evolved over time. I review the theoretical developments from the short rate models of the 1980s to the stochastic-volatility extensions of the SABR model. I argue that how the theory developed can be understood only by taking into account the institutional setting of derivatives trading and that the modeling choices were motivated to a surprisingly large extent by how the market evolved. I conclude with an assessment of which of these theoretical contributions have had a lasting and meaningful effect on the financial theory of asset pricing. Expected final online publication date for the Annual Review of Financial Economics, Volume 15 is November 2023. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.
远期利率的q -测度动态
我回顾了衍生品定价背景下远期利率动态的理论模型是如何随着时间的推移而演变的。我回顾了从20世纪80年代的短期利率模型到SABR模型的随机波动扩展的理论发展。我认为,只有考虑到衍生品交易的制度设置,才能理解这一理论是如何发展的,而且建模选择在很大程度上是由市场的演变所推动的。最后,我对这些理论贡献中哪些对资产定价的金融理论产生了持久而有意义的影响进行了评估。《金融经济学年度评论》第15卷的最终在线出版日期预计为2023年11月。修订后的估计数请参阅http://www.annualreviews.org/page/journal/pubdates。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
5.00
自引率
0.00%
发文量
26
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