The comparison with multi-factors interest rate model

2016 Fiscal Year Final Research Report

• Project/Area Number: 25780213
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Money/ Finance
• Research Institution: Ritsumeikan University
• Principal Investigator: LIU NIEN-LIN 立命館大学, BKC社系研究機構, プロジェクト研究員 (90610923)
• Co-Investigator(Renkei-kenkyūsha): AKAHORI Jiro 立命館大学, 理工学部, 教授 (50309100)
• Research Collaborator: WANG Tai-Ho ; MANCINO Maria Elvira ; MAKHLOUF Azmi ; AMABA Takafumi
• Project Period (FY): 2013-04-01 – 2017-03-31
• Keywords: 高頻度データの分析 / 統計的方法 / 金利の期間構造 / フーリエ法

Outline of Final Research Achievements

The Malliavin-Mancino method provides a way to estimate the differentiation of quadratic variation of a discretely monitored semimartingale. However, the estimator is not positive definite nor symmetric. This causes a problem in estimating eigenvalues of the matrix, which are a priori known to be positive real. We proposed two alternative estimators that are positive definite and the computational cost also is saved a lot. For developing, I work on the project "Discrete Clark-Ocone formula for pure-jump Levy processes " with T. Amaba and A. Makhlouf, the paper is revised. Also, work with T.H. Wang on the topic "Asian option pricing ", the paper is going to submit.

Free Research Field

数理ファイナンス