Asymptotic expansion for the discretely observed interest rate models and its applications to interest rate derivatives pricing
| Project/Area Number |
26380401
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Tokyo University of Science |
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Principal Investigator |
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| Project Period (FY) |
2014-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2017: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2016: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2015: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2014: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
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| Keywords | 確率金利モデル / 信用リスク計測 / 確率展開 / 金利派生商品 / 金利の期間構造 / ポートフォリオ最適化 / 金融リスク評価 / ベイズ推定 / 金利デリバティブ / 信用リスク / 与信ポートフォリオ管理 / 混合分布モデル / 漸近展開 / ハル・ホワイト・モデル / 構造型アプローチ / ファクターモデル / Vasicekモデル / 日本国債イールド |
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| Outline of Final Research Achievements |
In this study, we consider the discretely observed interest rate process and the asset value process in order to evaluate the interest rate options and some credit risks measures. The underlying discretely observed processes are characterized by the non-Gaussianity and serially correlated innovations. By using the asymptotic expansion approaches, we derive some interest rate option prices and the credit risk measures which are expressed by the functions of the skewness and kurtosis of the underlying model parameters. In particular, for equillibrium and no-arbitrage models of the interest rate models, we extend the option pricing approaches based on the Vasicek and Hull-White models to have the non-Gaussian and serially correlated innovations for the underlying processes.
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Report
(5 results)
Research Products
(20 results)
