Interest-rate simulation under the real-world measure within a Gaussian HJM framework

Takashi Yasuoka

    研究成果: Article査読

    抄録

    This paper studies an interest-rate simulation for risk management under the real-world measure. First, this paper proposes a method to estimate the market price of risk from historical data in a Gaussian Heath, Jarrow, and Morton framework. Next, properties of the simulation are examined in connection with historical data. Finally, the market price of risk is roughly interpreted in regard to the historical change in interest rates. These results are explained through numerical examples.
    本文言語English
    ページ数7
    ジャーナルQuantitative Finance Letters
    3
    1
    DOI
    出版ステータスPublished - 2015 1 15

    ASJC Scopus subject areas

    • Economics, Econometrics and Finance(all)

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