کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
479213 1445971 2016 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Kriging of financial term-structures
ترجمه فارسی عنوان
کریجینگ ساختارهای مدت مالی
کلمات کلیدی
ریسک مدل؛ نرخ بهره منحنی؛ OIS منحنی تخفیف؛ توزیع ضمنی پیش فرض. کریجینگ
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
چکیده انگلیسی


• Kriging can be adapted to construct arbitrage-free term-structures.
• It extends classical spline techniques by additionally quantifying uncertainty.
• Linear equality constraints and shape-preserving conditions are considered.
• Covariance hyper-parameters are estimated by cross-validation techniques.
• The method efficiency is demonstrated for some classical construction problems.

Due to the lack of reliable market information, building financial term-structures may be associated with a significant degree of uncertainty. In this paper, we propose a new term-structure interpolation method that extends classical spline techniques by additionally allowing for quantification of uncertainty. The proposed method is based on a generalization of kriging models with linear equality constraints (market-fit conditions) and shape-preserving conditions such as monotonicity or positivity (no-arbitrage conditions). We define the most likely curve and show how to build confidence bands. The Gaussian process covariance hyper-parameters under the construction constraints are estimated using cross-validation techniques. Based on observed market quotes at different dates, we demonstrate the efficiency of the method by building curves together with confidence intervals for term-structures of OIS discount rates, of zero-coupon swaps rates and of CDS implied default probabilities. We also show how to construct interest-rate surfaces or default probability surfaces by considering time (quotation dates) as an additional dimension.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 255, Issue 2, 1 December 2016, Pages 631–648
نویسندگان
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