Introduction of stochastic volatility into term structure models and its economic evaluation

将随机波动引入期限结构模型及其经济评价

• 批准号: 23730212
• 负责人: TAKAMIZAWA Hideyuki
• 金额: $ 0.5万
• 依托单位: Hitotsubashi University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Young Scientists (B)
• 财政年份: 2011
• 资助国家: 日本
• 起止时间: 2011 至 2012
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-23730212/
• 关键词: 金利期間構造; イールドカーブ; ボラティリティ; 金利; 無裁定

It has been known that the introduction of stochastic volatility into term structure models is not straightforward. Based on this issue, the main achievements of this research are to find (1) a way to make the introduction more effective for improving the descriptive power of models, and (2) that the dynamics of interest rate volatility estimated with and without imposing no-arbitrage conditions do not much differ. By these findings, an economic evaluation of the introduction can be feasible using various types of models.

众所周知，将随机波动率引入到利率期限结构模型中并不简单。基于这一问题，本研究的主要成果是：（1）找到了一种方法，使介绍更有效地提高模型的描述能力，（2）利率波动的动态估计与不施加无套利条件没有太大的差异。通过这些研究结果，可以使用各种类型的模型进行经济评估。