کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
957067 | 928506 | 2007 | 28 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration](/preview/png/957067.png)
Arbitrage-free models for valuing interest rate securities posit that stochastic changes in spot or forward interest rates (forward rate “speed”) follow a diffusion process. This paper extends the Heath, Jarrow and Morton [Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuations, Econometrica 60 (1992) 77–105], HJM framework by allowing diffusive shocks to both the “speed” and “acceleration” of forward rates. The arbitrage-free restriction on forward rates is identified and involves volatilities of the speed and acceleration dynamics and their correlation. Although the extended forward rates remain in the diffusive framework and evolve continuously, they may exhibit large changes over short intervals (as with jumps) due to stochastic acceleration. Comparisons of bond prices show that the proposed model generates more complex and intricate shapes for the restricted forward curve with the same number of stochastic factors and volatility.
Journal: Journal of Economic Theory - Volume 137, Issue 1, November 2007, Pages 432–459