scholarly journals Estimating single factor jump diffusion interest rate models

2011 ◽  
Vol 21 (22) ◽  
pp. 1679-1689 ◽  
Author(s):  
Ghulam Sorwar
Keyword(s):  
Interest Rate ◽  
Jump Diffusion ◽  
Single Factor ◽  
Interest Rate Models

scholarly journals Lie-Algebraic Approach for Pricing Zero-Coupon Bonds in Single-Factor Interest Rate Models

2013 ◽  
Vol 2013 ◽  
pp. 1-9 ◽  
Author(s):  
C. F. Lo
Keyword(s):  
Interest Rate ◽  
Algebraic Approach ◽  
Dynamical Symmetry ◽  
Bond Pricing ◽  
Model Parameters ◽  
Time Varying ◽  
Single Factor ◽  
Bond Price ◽  
Interest Rate Models ◽  
Root Model

The Lie-algebraic approach has been applied to solve the bond pricing problem in single-factor interest rate models. Four of the popular single-factor models, namely, the Vasicek model, Cox-Ingersoll-Ross model, double square-root model, and Ahn-Gao model, are investigated. By exploiting the dynamical symmetry of their bond pricing equations, analytical closed-form pricing formulae can be derived in a straightfoward manner. Time-varying model parameters could also be incorporated into the derivation of the bond price formulae, and this has the added advantage of allowing yield curves to be fitted. Furthermore, the Lie-algebraic approach can be easily extended to formulate new analytically tractable single-factor interest rate models.

Valuation of derivatives based on single-factor interest rate models

2007 ◽  
Vol 18 (2) ◽  
pp. 251-269 ◽  
Author(s):  
Ghulam Sorwar ◽  
Giovanni Barone-Adesi ◽  
Walter Allegretto
Keyword(s):  
Interest Rate ◽  
Single Factor ◽  
Interest Rate Models

scholarly journals Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes

2014 ◽  
Vol 2014 ◽  
pp. 1-12
Author(s):  
Xili Zhang
Keyword(s):  
Diffusion Model ◽  
Mean Reversion ◽  
Jump Diffusion ◽  
Single Factor ◽  
Interest Rate Models ◽  
Successful Model ◽  
Rate Processes ◽  
Jump Diffusion Model ◽  
The Mean ◽  
Selection Of

Using the Shanghai Interbank Offered Rate data of overnight, 1 week, 2 week and 1 month, this paper provides a comparative analysis of some popular one-factor short rate models, including the Merton model, the geometric Brownian model, the Vasicek model, the Cox-Ingersoll-Ross model, and the mean-reversion jump-diffusion model. The parameter estimation and the model selection of these single-factor short interest rate models are investigated. We document that the most successful model in capturing the Shanghai Interbank Offered Rate is the mean-reversion jump-diffusion model.

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