A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
复制标题
HJM框架内的一类跳跃扩散债券定价模型
DOI：
10.1007/s10690-005-6006-0
复制
发表时间：
2003
影响因子：
1.7
通讯作者：
Christina Nikitopoulos Sklibosios
中科院分区：
文献类型：
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作者：
C. Chiarella;Christina Nikitopoulos Sklibosios
本文考虑了一类利率期限结构模型，它是Heath等（1992）模型的白川（1991）推广到跳跃扩散情形的参数化。我们考虑具体的远期利率波动结构，将状态依赖的维纳波动函数和时间依赖的泊松波动函数。在此框架下，我们讨论了马尔可夫化问题，并得到了相应的仿射利率期限结构。因此，我们能够得到一个广泛的易于处理的一类跳扩散期限结构模型。我们将我们的方法与现有的一类跳跃扩散期限结构模型，其出发点是一个跳跃扩散过程的即期汇率。特别是，我们得到自然跳跃扩散版本的船体和白色（1990年，1994年）的单因素和双因素模型和Ritchken和Sankarasubramanian（1995年）模型在HJM框架内。我们还给出了一些数值模拟，以衡量跳跃成分对收益率曲线的影响，以及各种波动率规格对即期利率分布的影响。
This paper considers a class of term structure models that is a parameterisation of the Shirakawa (1991) extension of the Heath et al. (1992) model to the case of jump-diffusions. We consider specific forward rate volatility structures that incorporate state dependent Wiener volatility functions and time dependent Poisson volatility functions. Within this framework, we discuss the Markovianisation issue, and obtain the corresponding affine term structure of interest rates. As a result we are able to obtain a broad tractable class of jump-diffusion term structure models. We relate our approach to the existing class of jump-diffusion term structure models whose starting point is a jump-diffusion process for the spot rate. In particular we obtain natural jump-diffusion versions of the Hull and White (1990, 1994) one-factor and two-factor models and the Ritchken and Sankarasubramanian (1995) model within the HJM framework. We also give some numerical simulations to gauge the effect of the jump-component on yield curves and the implications of various volatility specifications for the spot rate distribution.