RT info:eu-repo/semantics/bookPart
T1 Real-World Versus Risk-Neutral Measures in the Estimation of an Interest Rate Model with Stochastic Volatility
A1 Gómez del Valle, María Lourdes
A1 Martínez Rodríguez, Julia
K1 Volatilidad estocástica
K1 Stochastic volatility
AB In this paper, we consider a jump-diffusion two-factor model which stochastic volatility to obtain the yield curves efficiently. As this is a jump-diffusion model, the estimation of the market prices of risk is not possible unless a closed form solution is known for the model. Then, we obtain some results that allow us to estimate all the risk-neutral functions, which are necessary to obtain the yield curves, directly from data in the markets. As the market prices of risk are included in the risk-neutral functions, they can also be obtained. Finally, we use US Treasury Bill data, a nonparametric approach, numerical differentiation and Monte Carlo simulation approach to obtain the yield curves. Then, we show the advantages of considering the volatility as second stochastic factor and our approach in an interest rate model.
PB Springer
SN 978-3-319-89824-7
YR 2018
FD 2018
LK http://uvadoc.uva.es/handle/10324/32344
UL http://uvadoc.uva.es/handle/10324/32344
LA eng
NO Corazza M., Durbán M., Grané A., Perna C., Sibillo M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, 2018, p. 397–4011
NO Producción Científica
DS UVaDOC
RD 26-abr-2024