کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099183 | 1376991 | 2009 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Modeling the term structure of interest rates with general diffusion processes: A moment approximation approach
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
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چکیده انگلیسی
We propose an analytical approximation of the term structure of interest rates under general diffusion processes of the short-rate and state variables. A method of approximating conditional moments as the solution to a system of ordinary differential equations is applied to the pricing of bonds. Numerical experiments based on two illustrative models show that the second-order approximation is accurate for maturities of up to five years and the third-order approximation is effective for longer maturities. We also show the possibility of improving the second-order approximation without much increasing the computational burden.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 33, Issue 1, January 2009, Pages 65-77
Journal: Journal of Economic Dynamics and Control - Volume 33, Issue 1, January 2009, Pages 65-77
نویسندگان
Hideyuki Takamizawa, Isao Shoji,