一个n维马尔可夫函数利率模型

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2011-07-17 DOI:10.2139/ssrn.1081337

Linus Kaisajuntti, J. Kennedy

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引用次数: 2

摘要

本文建立了一个n维马尔可夫函数利率模型，即一个由n维状态过程驱动并利用马尔可夫函数技术构造的模型。结果表明，该模型与n因子LIBOR市场模型非常相似，因此可以将LIBOR市场模型的直觉转移到马尔可夫函数模型中。这将Bennett & Kennedy(2005)的结果从一维推广到n维驱动状态过程。该模型适用于某些特殊利率衍生产品的定价，如基于libor或CMS价差的tarn。对于这些产品，n维马尔可夫函数模型可以用作基准模型，允许对不同利率之间的相关性以及隐含波动率的倾斜/微笑进行强大而灵活的控制。

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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An N-Dimensional Markov-Functional Interest Rate Model

This paper develops an n-dimensional Markov-functional interest rate model, i.e. a model driven by an n-dimensional state process and constructed using Markov-functional techniques. It is shown that this model is very similar to an n-factor LIBOR market model hence allowing intuition from the LIBOR market model to be transferred to the Markov-functional model. This generalises the results of Bennett & Kennedy (2005) from one-dimensional to n-dimensional driving state processes. The model is suitable for pricing certain type of exotic interest rate derivative products such as TARNs on LIBORs or CMS spreads. For these products, the n-dimensional Markov-functional model may be used as a benchmark model allowing for powerful and flexible control of both correlations between different rates as well as skews/smiles in implied volatilities.

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来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.