Approximation of Non-Linear Term Structure Models
Approximation of Non-Linear Term Structure Models
复制标题
非线性期限结构模型的近似
DOI：
10.3905/jod.2001.319156
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发表时间：
2001
期刊：
影响因子：
--
通讯作者：
I. Shoji
中科院分区：
文献类型：
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作者：
H. Takamizawa;I. Shoji
“均衡期限结构模型，如 Vasicek、Cox、Ingersoll 和 Ross (CIR) 的模型，从对短期利率行为的假设开始；然后通过向前预测短期利率过程来获得完整的期限结构。为了获得封闭式估值方程，短期利率的漂移通常被假设为线性，但经验证据表明其行为实际上更复杂。短期利率在处于中间水平时似乎遵循无漂移随机游走，但在以下情况下表现出均值回归：然而，纳入非线性漂移会导致复杂的估计问题，Takamizawa 和 Shoji 提出了一种线性化技术，使他们能够更简单地拟合具有非线性漂移的模型。他们表明，对于美国利率数据，他们的方法比线性漂移 CIR 模型更适合样本内且更准确。”
“Equilibrium term structure models, like those of Vasicek, or Cox, Ingersoll, and Ross (CIR), start with assumptions about the behavior of the short rate; the full term structure is then obtained by projecting the short rate process forward. To obtain closed form valuation equations, the drift of the short rate is typically assumed to be linear, but empirical evidence suggests that its behavior is actually more complex. Short rates seem to follow a driftless random walk when they are at intermediate levels, but to exhibit mean reversion when the rate becomes very low or very high. However, incorporating a non-linear drift leads to complicated estimation problems. In this article, Takamizawa and Shoji present a linearization technique that allows them to fit a model with non-linear drift more simply. They show that with U.S. interest rate data, their approach fits better in-sample and is more accurate out of sample than a linear drift CIR model.”