Libor market model under the real-world measure

Takashi Yasuoka

    研究成果: Article査読

    4 被引用数 (Scopus)

    抄録

    This paper consists of two parts. The first part aims to construct a LIBOR market model under the real-world measure (LMRW) according to the Jamshidian framework. Then, LIBOR rates, bond prices and a state price deflator are explicitly described under the LMRW. The second part aims to estimate the market price of risk, as well as to investigate the fundamental properties of real-world simulations. Then, the following subjects are theoretically investigated: (1) a method for determining the number of factors for real-world simulations, (2) the properties of real-world simulations, and (3) the value of the market price of risk in connection with sample data. Numerical examples demonstrate our results.

    本文言語English
    論文番号1350024
    ジャーナルInternational Journal of Theoretical and Applied Finance
    16
    4
    DOI
    出版ステータスPublished - 2013 6月 1

    ASJC Scopus subject areas

    • 財務
    • 経済学、計量経済学および金融学(全般)

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