| 一种均值回复利率模型的求解与参数估计 |
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| 引用本文： | 董烈刚,朱全新. 一种均值回复利率模型的求解与参数估计[J]. 宁波大学学报(理工版), 2010, 23(4): 76-79 |
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| 作者姓名： | 董烈刚 朱全新 |
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| 作者单位： | 宁波大学理学院,浙江宁波315211;;宁波大学理学院,浙江宁波315211; |
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| 基金项目： | 国家自然科学基金（10801056）; 宁波大学科研基金（XYL09015）; 宁波市自然科学基金（2010A610094） |
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| 摘 要： | 首先运用随机微分方法求出了一种均值回复利率模型的显式解,并在此基础上求出了各个交易日浮动利率的期望值,然后利用从2009年7月1日到2009年11月18日的SHIBOR一周互换利率数据对模型进行了参数估计和显著性检验,最后运用这些参数和模型求解的结果对未来利率进行了预测,所获结果与实际较为吻合.
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| 关 键 词： | 利率 均值回复 显示解 随机微分 预测 |
A Solution for Mean-reverting Interest Rate Model and Parameter Estimation |
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| DONG Lie-gang,ZHU Quan-xin. A Solution for Mean-reverting Interest Rate Model and Parameter Estimation[J]. Journal of Ningbo University(Natural Science and Engineering Edition), 2010, 23(4): 76-79 |
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| Authors: | DONG Lie-gang ZHU Quan-xin |
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| Affiliation: | (Faculty of Science,Ningbo University,Ningbo 315211,China) |
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| Abstract: | Using the stochastic differential method,this paper obtains an explicit solution for a class of average return interest rate model,based on which the expected fluctuation interest rate in each transaction point day is sought.The parameter estimation and effectiveness test are taken on the developed model and analyzed based on exchange interest rate data during the SHIBOR week dated from July 1,2009 to November 18,2009.In the end the obtained results are applied to forecast the future interest rates,the results of which prove effective in practice. |
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| Keywords: | interest rate average value reply explicit solution stochastic differential forecast |
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