Interest Rate Modeling at the Zero Lower Bound: Applications of Diffusions with Sticky Boundaries

零下限的利率建模：粘性边界扩散的应用

• 批准号: 1514698
• 负责人: Vadim Linetsky
• 金额: $ 20.77万
• 依托单位: Northwestern University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2015
• 资助国家: 美国
• 起止时间: 2015-09-01 至 2018-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1514698&HistoricalAwards=false
• 关键词: Interest; Rate; Modeling; Zero; Lower

Short-term interest rates in the U.S., the Euro zone, and Japan have been near zero since the global financial crisis of 2008, due to the monetary policy responses by the central banks to the financial crisis and the recession that followed. Conventional mathematical models of interest rates break down when the short term interest rate is at the zero lower bound (ZLB). This project develops and investigates a novel class of mathematical models of interest rates with the zero lower bound based on the mathematics of diffusion processes with sticky boundaries. The anticipated impact of the project is in applications in the financial industry to the pricing and hedging of interest-rate-sensitive financial instruments, to managing interest rate risk, to fixed income portfolio construction, and in central banking to aid in conducting monetary policy, as well as in training of doctoral students in financial mathematics and engineering. The class of diffusions with sticky boundaries is well suited to the challenge of modeling the ZLB, as it naturally supplies a model with two distinct economic regimes -- the process away from the boundary and the process on the boundary. This project develops analytical and computational tools to work with diffusions with sticky boundaries, including computational methods specifically tailored for this class of stochastic processes, and applies them to develop and empirically test interest rate models. The intellectual merit of this project is in the development of a novel class of interest rate models based on diffusions with sticky boundaries, and in the associated analytical and computational methods to solve stochastic differential equations with sticky boundaries and partial differential equations with Wentzell boundary conditions. Graduate students are included in the project.

美国的短期利率，自2008年全球金融危机以来，由于中央银行对金融危机和随之而来的经济衰退的货币政策反应，欧元区和日本的经济增长率一直接近于零。 当短期利率处于零下限时，传统的利率数学模型失效。 本计画以粘性边界扩散过程数学为基础，发展并研究一类新的零下限利率数学模型。 该项目的预期影响是在金融行业的应用，利率敏感的金融工具的定价和对冲，管理利率风险，固定收入投资组合的建设，并在中央银行协助执行货币政策，以及在金融数学和工程博士生的培训。 具有粘性边界的扩散类非常适合对ZLB建模的挑战，因为它自然地提供了具有两种不同经济制度的模型-远离边界的过程和边界上的过程。 该项目开发了分析和计算工具，用于处理具有粘性边界的扩散，包括专门为这类随机过程量身定制的计算方法，并将其应用于开发和实证测试利率模型。 这个项目的智力价值是在一类新的利率模型的基础上，粘性边界扩散的发展，并在相关的分析和计算方法来解决随机微分方程粘性边界和偏微分方程与Wentzell边界条件。 研究生也包括在该项目中。