本文在Bjork and Christensen(1999)的基础上,进一步研究了远期利率曲线与利率动态模型具有一致性的充分必要条件,论证了广泛采用的Nelson-Siegel模型与Ho-Lee、Hull-White、HJM等无套利模型的不一致性,提出了一个与这类无套利模型相一...本文在Bjork and Christensen(1999)的基础上,进一步研究了远期利率曲线与利率动态模型具有一致性的充分必要条件,论证了广泛采用的Nelson-Siegel模型与Ho-Lee、Hull-White、HJM等无套利模型的不一致性,提出了一个与这类无套利模型相一致的新的远期利率曲线参数模型,实证研究表明,这个一致性远期利率曲线在收益率曲线的横截面拟合方面与Nelson-Siegel模型具有十分相似的良好表现,可应用于无套利模型校准、利率衍生品定价和货币政策分析等方面。展开更多
The pricing and hedging problem of foreign currency option with higher borrowing rate is discussed.The method to obtain the price and hedging portfolio of currency option is based on backward stochastic differential e...The pricing and hedging problem of foreign currency option with higher borrowing rate is discussed.The method to obtain the price and hedging portfolio of currency option is based on backward stochastic differential equations(BSDE for short) theory and Malliavin calculus technique.The sensitivity of the model parameters is also considered and some numerical simulations are given to illustrate our conclusion.展开更多
文摘本文在Bjork and Christensen(1999)的基础上,进一步研究了远期利率曲线与利率动态模型具有一致性的充分必要条件,论证了广泛采用的Nelson-Siegel模型与Ho-Lee、Hull-White、HJM等无套利模型的不一致性,提出了一个与这类无套利模型相一致的新的远期利率曲线参数模型,实证研究表明,这个一致性远期利率曲线在收益率曲线的横截面拟合方面与Nelson-Siegel模型具有十分相似的良好表现,可应用于无套利模型校准、利率衍生品定价和货币政策分析等方面。
基金supported by the National Nature Science Foundation of China(11221061,61174092,11126214,11126208)the National Science Fund for Distinguished Young Scholars of China(11125102)the Fundamental Research Funds for the Central Universities(2010QS05)
文摘The pricing and hedging problem of foreign currency option with higher borrowing rate is discussed.The method to obtain the price and hedging portfolio of currency option is based on backward stochastic differential equations(BSDE for short) theory and Malliavin calculus technique.The sensitivity of the model parameters is also considered and some numerical simulations are given to illustrate our conclusion.