A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives

Material type: 文書・図像類

Author: Kusuda, Koji

Publisher: Center for Risk Research (CRR), Shiga University

Publication date: 2005-08

Material Format: Digital

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Note (General)：: type:Technical ReportThe LIBOR market (LM) model (Brace, Gatarek, and Musiela [8],Miltersen, Sandmann, Sondermann [21], and Jamshidian [18]) is a Heat...

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Material Type: 文書・図像類
Title: A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives
Author/Editor: Kusuda, Koji
Author Heading: Kusuda, Koji
Publication, Distribution, etc.: Center for Risk Research (CRR), Shiga University
Publication Date: 2005-08
Publication Date (W3CDTF): 2005-08
Periodical title: CRR Working Paper, Series B
No. or year of volume/issue: B-7
Volume: B-7
Pages: 1-21
Text Language Code: eng
Subject Heading: Affine jump-diffusion
Approximately complete markets
Equilibrium pricing
Forward martingale measure
Fourier transform
Interest rate derivative
Jump-diffusion model
LIBOR
LIBOR market model
Stochastic volatility
Target Audience: 一般
Note (General): type:Technical Report
The LIBOR market (LM) model (Brace, Gatarek, and Musiela [8],Miltersen, Sandmann, Sondermann [21], and Jamshidian [18]) is a HeathJarrow-Mortonmodel (Heath, Jarrow, and Morton [15]) specified to be aninterest rate version of the celebrated Black-Scholes model of stock price, andis the most popular among practitioners and researchers. However, a statisticaltest (Kusuda [19]) rejected the LM model, and suggested that the deterministicvolatility in the LIBOR market model should be replaced with a stochasticone and/or that a jump process should be introduced into the LM model. Thispaper presents a stochastic volatility jump-diffusion LM model using a generalequilibrium security market model of Kusuda [19]. Approximate generalequilibrium pricing formulas for caplet and swaption are derived exploiting theforward martingale measure approach (Jamshidian [17]) and a Fourier transformmethod (Heston [16], Bates [4], and Duffie, Pan, and Singleton [13]).
identifier:CRR Working Paper, Series B, No. B-7, pp. 1-21
Access Restrictions: 限定公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 滋賀大学 : 滋賀大学学術情報リポジトリ