全球智库信息集成服务系统(G2TT): A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w12337
来源ID	Working Paper 12337
	A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
	Anders B. Trolle; Eduardo S. Schwartz
发表日期	2006-06-26
出版年	2006
语种	英语
摘要	We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features correlations between innovations to forward rates and volatilities, quasi-analytical prices of zero-coupon bond options and dynamics of the forward rate curve, under both the actual and risk-neutral measure, in terms of a finite-dimensional affine state vector. The model has a very good fit to an extensive panel data set of interest rates, swaptions and caps. In particular, the model matches the implied cap skews and the dynamics of implied volatilities. The model also performs well in forecasting interest rates and derivatives.
主题	Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w12337
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/569994
推荐引用方式 GB/T 7714	Anders B. Trolle,Eduardo S. Schwartz. A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives. 2006.