Studies on Paramaeter Indentification of Factor mode for Bonds
| Project/Area Number |
17560402
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Control engineering
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| Research Institution | Tokyo University of Science, Suwa |
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Principal Investigator |
AIHARA Shinichi Tokyo University of Science, Suwa, Department of Mechanics and Systems Design, Professor (70202455)
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| Project Period (FY) |
2005 – 2007
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| Project Status |
Completed (Fiscal Year 2007)
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| Budget Amount *help |
¥3,410,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥210,000)
Fiscal Year 2007: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2006: ¥700,000 (Direct Cost: ¥700,000)
Fiscal Year 2005: ¥1,800,000 (Direct Cost: ¥1,800,000)
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| Keywords | US-treasury bond / forward rate process / Parabolic type stochastic DPE / Maximum likelihood / Particle filter / 放物型確率微分方程式 / リスク中立測度 |
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| Research Abstract |
During the first two years, the new factor model for bond process has been proposed. After checking the various types of the arbitragy free or empirical models, we met with the conclusion that the stochastic Parabolic partial differential equation is the most adequate model. To apply the proposed model to the practical situation, we established the on-line parameter estimation algorithm from the obtained yield curve data. The idea to construct the on-line estimator is to use the particle filter algorithm. Despite the success of particle filter, there are two factors which cause difficulties in its implementation. The first one is the choice of importance functions commonly used in the literature which are far from being optimal. The second one is the combined state and parameter estimation problem. In the final year, we are able to circumvent both these problems. There was an additional difficulty of proper discretization because of the inherently continuous nature of financial model. Numerical results which are presented in the published papers listed below show the effectiveness of the proposed algorithms.
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Report
(4 results)
Research Products
(37 results)
