Modeling the term structure of interest rates: A new approach

• 成果类型: Article
• 署名作者: Kimmel, RL
• 署名单位: Princeton University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00204-6
• 发表日期: 2004
• 页码: 143-183
• 关键词: term structure; random field; derivative pricing; Conditional volatility

摘要

The term structure of interest rates is modeled as a random field with conditional volatility. Random field models allow consistency with the current shape of the term structure without the need for recalibration. However, most such models are Gaussian, with no conditional volatility. State-dependent volatility is introduced while a key property of Gaussian random field models is retained. Each forward rate is part of a low-dimensional diffusion process, simplifying estimation and derivatives pricing. The modeling approach also implies that, in general, the set of zero coupon bonds does not complete the market, and term structure derivatives cannot always be priced by arbitrage. (C) 2003 Elsevier B.V. All rights reserved.