修正的FH利率期限结构模型

本文证明了在B.Flesaker和L.Hughston利率期限模型中的鞅性要求可以去掉，此外其模型构造方法可以推广到更一般情形，即从一个参考资产和一个市场风险价格构造利率期限结构。我们由此给出利率衍生证券的更一般定价公式。     

关于货币市场结构转换利率期限结构的实证研究

基本的利率期限结构模型均未能将结构转换效应考虑进来,因此为了探讨结构转换架构下利率期限结构模型的特性,本文在中国货币市场利率数据的基础上对基本利率期限结构模型和结构转换利率期限结构模型进行了比较研究,结果发现中国货币市场利率动态中存在明显的结构转换效应,且在结构转换效应中其本身也存在着不稳定性,这充分反映了中国货币市场在发展过程中的不成熟特征.     

利率期限结构的主成分分析

本文采用主成分分析的方法对我国的利率期限结构进行了研究。在采用这种方法的同时,结合非线性变换BOX—COX得出了我国的利率期限结构具有代表性的三个主成分:利率期限结构曲线的平移、斜率的变化以及曲率的变化。同时通过实证分析证实了这种方法的有效性。     

基于Hull-White模型的债券市场利率期限结构研究

现代利率研究中有许多理论和模型对利率期限结构问题进行探索，但是在中国还没有一种公认的理论或方法能够完全解决中国债券市场利率期限结构问题。本文尝试寻找一种更多的利用市场即时信息的定价方法对利率期限结构进行研究，应用三叉树模拟技术构建Hull-White模型，并对当前中国债券市场上几种常用利率进行比较分析。研究发现银行间质押式回购收益率具有较好的动态运动性质，比样本国债和政策性银行金融债更适宜作为短期金融产品定价的基础。     

考虑流动性的我国国债价格预测研究

随着金融改革的深化和利率市场化脚步的加快,我国的国债交易和国债市场已经得到了高速发展和充分成长.但在国债利率期限结构的研究方面还不够充分,仍有进一步完善的空间,在利率期限结构研究中考虑流动性的影响就是其中之一.从利率期限结构估计入手,将流动性以权重形式加入NSS模型,估计参数并预测国债价格.研究结果表明,加入流动性权重后,利率期限结构的预测性能显著提高,而且随着步长加大,效果更明显.     

中国债券市场动态利率模型及其实证检验

为了对中国债券市场动态利率期限结构进行深入的研究,本文基于状态空间模型和卡尔曼滤波技术构建了中国债券市场动态利率模型。本文模型根据数据的可观测结构进行建模,通过迭代计算寻找不可观测状态变量的最优估计值和隐含参数,很好地解决了传统计量方法中因为变量不可观测而无法获得真实数据所带来的研究困难。同时通过模型有效性的模拟实验和中国债券市场同业拆借利率的实证研究,证明了模型对利率期限结构在一段时间内的动态变化估计结果准确,在建模样本期内利率的动态变化能够得到有效的分析和预测。本文的研究为中国债券市场动态利率管理和定价问题提供了新的思路和可能的解决渠道。     

基于线性规划和多项式样条函数的利率期限结构模型

针对线形规划利率期限结构模型只能得到离散贴现率,提出利用多项式插值方法拟合出连续光滑的利率期限结构.并依据样本内外国债信息把它与多项式样条函数模型进行了实证比较,前者的价格相对误差分别为0.45%和1.51%,后者分别为4.18%和4.5%.结果表明线性规划利率期限结构模型与多项式插值相结合的方法在拟合我国利率期限结构方面具有一定优势.     

基于预期理论的Shibor期限结构实证研究

本文基于利率期限结构预期理论对我国的Shibor市场进行了实证研究。本文回顾了利率期限结构预期理论的三种检验方法,通过单位根检验发现Shibor短端利率平稳、中长端利率存在单位根,并分别运用线性回归法、向量自回归法和协整检验法对Shibor整体、短端利率和中长端利率相应进行了实证检验,得出Shibor无论整体上还是短端利率或中长端利率都不支持预期理论成立的结论,并通过分析得出启示:Shibor应注重中长端利率的发展和报价制度的完善。     

利率期限结构与宏观经济变量的相互关系研究

本文研究了利率期限结构与宏观经济变量之间的相互关系。运用利率期限结构与宏观经济变量的无套利模型,对向量自回归模型进行了扩展,将其引入到状态空间模型框架中,基于卡尔曼滤波并结合EM算法对模型参数进行了有效估计,结合实际数据对利率期限结构与宏观经济变量的相互影响关系进行了实证研究。结果表明:利率期限结构与宏观经济变量的双向影响关系显著;宏观经济变量对利率期限结构具有一定的解释力;研究利率期限结构时,宏观经济变量的影响作用不能忽略。     

基于双因素利率期限结构模型的国债市场利率行为研究

本引用一种新的计量经济学方法-高斯估计法，通过Gauss语言编程，使用国债市场短期利率数据对双因素连续时间利率期限结构模型进行了参数估计和预测，得出的结果较理想，从而能更好的了解国债市场短期利率行为特点。     

Dependent interest and transition rates in life insurance

For market consistent life insurance liabilities modelled with a multi-state Markov chain, it is of importance to consider the interest and transition rates as stochastic processes, for example in order to consider hedging possibilities of the risks, and for risk measurement. In the literature, this is usually done with an assumption of independence between the interest and transition rates. In this paper, it is shown how to valuate life insurance liabilities using affine processes for modelling dependent interest and transition rates. This approach leads to the introduction of so-called dependent forward rates. We propose a specific model for surrender modelling, and within this model the dependent forward rates are calculated, and the market value and the Solvency II capital requirement are examined for a simple savings contract.     

Term structure of interest rates and the expectation hypothesis: The euro area

This paper investigates the informational content of the yield curve in the European market using data on the Italian term structures. According to the expectation hypothesis theory (EHT) the current forward rate equals the future short rate plus a constant risk premium that is time invariant but maturity dependent. This theory has been widely tested in the empirical literature providing various findings according to the country where it has been applied and to the segment of the yield curve examined or the period under study. The standard approach to test the EHT uses the regression techniques assuming data on spot rates and their first differences to be stationary. Recently an increasing number of studies evidenced the non stationarity of interest rates time series and some tests of the EHT are formulated using term spread and forward-spot spread which are stationary. A new strand of literature suggests to investigate the EHT using a restricted VAR framework. In this paper, following [Jondeau, E., Ricart, R., 1999. The expectations hypothesis of the term structure: tests on us, german, french and uk euro-rates. Journal of International Money and Finance 18, 725–750, Ghazali, N.A. Low, S.W., 2002. The expectations hypothesis in emerging financial markets: the case of malaysia. Applied Economics 34, 1147–1156 and Seo, B., 2003. Non linear mean reversion in the term structure of interest rates. Journal of Economic Dynamics and Control 27, 2243–2265], we test if the expectation hypothesis holds using cointegration and error correction analysis. For the period under study results suggest that the long and short term interest rates are cointegrated and therefore subject to a long equilibrium path, providing evidence that the EHT holds for the Italian and the European market.     

Real-World Scenarios With Negative Interest Rates Based on the LIBOR Market Model

ABSTRACT

In this article, we present a methodology to simulate the evolution of interest rates under real-world probability measure. More precisely, using the multidimensional Shifted Lognormal LIBOR market model and a specification of the market price of risk vector process, we explain how to perform simulations of the real-world forward rates in the future, using the Euler?Maruyama scheme with a predictor?corrector strategy. The proposed methodology allows for the presence of negative interest rates as currently observed in the markets.     

Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

We consider the pricing of long-dated insurance contracts under stochastic interest rates and stochastic volatility. In particular, we focus on the valuation of insurance options with long-term equity or foreign exchange exposures. Our modeling framework extends the stochastic volatility model of Schöbel and Zhu (1999) by including stochastic interest rates. Moreover, we allow all driving model factors to be instantaneously correlated with each other, i.e. we allow for a general correlation structure between the instantaneous interest rates, the volatilities and the underlying stock returns. As insurance products often incorporate long-term exposures, they are typically more sensitive to changes in the interest rates, volatility and currencies. Therefore, having the flexibility to correlate the underlying asset price with both the stochastic volatility and the stochastic interest rates, yields a realistic model which is of practical importance for the pricing and hedging of such long-term contracts. We show that European options, typically used for the calibration of the model to market prices, and forward starting options can be priced efficiently and in closed-form by means of Fourier inversion techniques. We extensively discuss the numerical implementation of these pricing formulas, allowing for a fast and accurate valuation of European and forward starting options. The model will be especially useful for the pricing and risk management of insurance contracts and other exotic derivatives involving long-term maturities.     

Real options valuation of forest plantation investments in Brazil

In this paper, we consider investments in eucalyptus plantations in Brazil. For such projects, we discuss real options valuation in the place conventional methods such as IRR or NPV, possibly with CAPM. Traditionally, real options valuation assumes complete markets and neglects market imperfections. Yet, market frictions, such as transaction costs, interest rate spreads, and restricted short positions, can play an important role. We extend real options valuation to allow incomplete and imperfect markets. The value is obtained as a competitive price, given markets of competing investment opportunities, such as real and financial assets. Under perfect and complete markets, such valuation method is consistent with conventional real options theory. Stochastic programming and standard software is used for valuation of eucalyptus plantations. We estimate the underlying interdependent diffusion processes of stock market, interest rates, exchange rates and pulpwood price, and derive novel expressions of stochastic integrals to be employed in scenario generation for discrete time stochastic programming.     

Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

We consider the pricing of long-dated insurance contracts under stochastic interest rates and stochastic volatility. In particular, we focus on the valuation of insurance options with long-term equity or foreign exchange exposures. Our modeling framework extends the stochastic volatility model of Schöbel and Zhu (1999) by including stochastic interest rates. Moreover, we allow all driving model factors to be instantaneously correlated with each other, i.e. we allow for a general correlation structure between the instantaneous interest rates, the volatilities and the underlying stock returns. As insurance products often incorporate long-term exposures, they are typically more sensitive to changes in the interest rates, volatility and currencies. Therefore, having the flexibility to correlate the underlying asset price with both the stochastic volatility and the stochastic interest rates, yields a realistic model which is of practical importance for the pricing and hedging of such long-term contracts. We show that European options, typically used for the calibration of the model to market prices, and forward starting options can be priced efficiently and in closed-form by means of Fourier inversion techniques. We extensively discuss the numerical implementation of these pricing formulas, allowing for a fast and accurate valuation of European and forward starting options. The model will be especially useful for the pricing and risk management of insurance contracts and other exotic derivatives involving long-term maturities.     

Moment explosion in the LIBOR market model

In the LIBOR market model, forward interest rates are log-normal under their respective forward measures. This note shows that their distributions under the other forward measures of the tenor structure have approximately log-normal tails.     

Modeling of certain problems in financial mathematics: Spread option pricing

The problem of valuating exotic options, namely, the option on the spread between two forward interest rates is considered. The price of the option is derived under the assumption that the dynamics of debt instruments and the interest rates are described by the Heath-Jarrow-Morton model. The parameters of the model are estimated, and the price of the option is numerically computed based on Russian bond market data.     

Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics

In this paper we present a new numerical method to price an interest rate derivative. The financial product consists of a particular ratchet cap contract which contains a set of ratchet caplets. For this purpose, we first pose the PDE pricing model for each ratchet caplet by means of Feynman-Kac theorem. The underlying interest rates are the forward LIBOR rates, the dynamics of which are assumed to follow the recently introduced BGM (LMM) market model. For the set of PDEs associated to the ratchet caplets pricing problems, we propose a second order Crank-Nicolson characteristics time discretization scheme combined with a finite element discretization in the interest rate variables. In order to illustrate the performance of the numerical methods, we present an academic test and a real example of a particular ratchet cap pricing. In the second case, a comparison between the results obtained by Monte Carlo simulation and the proposed method is presented.