| 具有相关波动因子的广义随机波动HJM模型 |
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| 引用本文： | 杨宝臣,苏云鹏. 具有相关波动因子的广义随机波动HJM模型[J]. 管理科学学报, 2011, 14(9): 77-85 |
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| 作者姓名： | 杨宝臣 苏云鹏 |
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| 作者单位： | 天津大学管理与经济学部,天津,300072 |
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| 基金项目： | 国家自然科学基金资助项目(70771075); 教育部博士点基金资助项目(200800560032),教育部新世纪优秀人才支持计划资助项目(NCET-08-0397); 长江学者和创新团队发展计划资助项目(IRT1028); 天津大学自主创新基金资助项目 |
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| 摘 要： | 基于Heath-Jarrow-Morton( HJM)模型框架,将远期利率波动率设定为服从广义均值回归平方根过程的随机变量,以刻画隐性随机波动因子的动态特性,并通过将漂移项限制条件推广至波动因子之间,以及利率波动率的变化与利率变动之间存在相关性情况,建立了广义的多因子HJM模型.在该模型框架下,基于一类特定波动率设定形...
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| 关 键 词： | HJM模型 随机波动率 相关性 马尔科夫转换 仿射实现 |
Generalized Heath-Jarrow-Morton model with stochastic volatility and correlated factors |
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| YANG B ao-chen,SU Yun-peng. Generalized Heath-Jarrow-Morton model with stochastic volatility and correlated factors[J]. Journal of Management Sciences in China, 2011, 14(9): 77-85 |
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| Authors: | YANG B ao-chen SU Yun-peng |
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| Affiliation: | YANG Bao-chen,SU Yun-peng College of Management and Economics,Tianjin University,Tianjin 300072,China |
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| Abstract: | Heath-Jarrow-Morton model is generalized by extending the no-arbitrage drift restriction with nonzero instantaneous correlations between volatility factors and setting forward rate volatilities subject to generalized mean-reverting square-root processes and correlated with innovations to forward rates.In the framework above,the dynamics of the term structure under the risk-neutral probability measure are described in terms of a finite number of state variables that jointly follow an affine diffusion process... |
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| Keywords: | Heath-Jarrow-Morton model stochastic volatility correlation Markovian transformation affine realization |
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