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

Takashi Yasuoka

    研究成果: Article

    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.
    元の言語English
    ページ数7
    ジャーナルQuantitative Finance Letters
    3
    発行部数1
    DOI
    出版物ステータスPublished - 2015 1 15

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    Interest rates
    Simulation
    Market price of risk
    Risk management

    ASJC Scopus subject areas

    • Economics, Econometrics and Finance(all)

    これを引用

    Interest-rate simulation under the real-world measure within a Gaussian HJM framework. / Yasuoka, Takashi.

    :: Quantitative Finance Letters, 巻 3, 番号 1, 15.01.2015.

    研究成果: Article

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    abstract = "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.",
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