Dissertation
Dissertation > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market

The Theory and Application of Term Structure Model with Jumps

Author SongZhiChao
Tutor YinJuLiang
School Jinan University
Course Probability Theory and Mathematical Statistics
Keywords With jumps and interest rate term structure model Jump-diffusion stochastic differential equations Euler-Maruyama method Maximum likelihood estimation Bond repurchase rate
CLC F822.0;F832.51
Type Master's thesis
Year 2010
Downloads 43
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This paper studies the nature of the interest rate term structure model with jumps , the existence of the numerical solution and numerical solution simulation, and empirical analysis combined with China 's bond market . Text is divided into five parts , the main contents are as follows: the preamble , introduces the current research status at home and abroad of the interest rate term structure model , and in this article to be carried out on the basis of research first chapter introduces this article to study the mathematical theory of knowledge , including the interest rate term structure model coefficient functions and parameters Institute needs an introduction , the nature of the interest rate term structure model theorem second chapter focuses on the the various mathematical nature of the interest rate term structure model , specifically the existence of global solution , the solution and the first moment bounded , as well as in a variety of conditions the next order moment and the second moment convergence . third chapter , the existence of the numerical solution of the main research , as well as the numerical solution of the interest rate term structure model simulation . research CKLS model coupled with a jump factor ( ? ) the CKLS model , the coefficients of the model function does not satisfy the linear growth condition , so study the existence of the numerical solution when we should be taken into account that , the final conclusion is that the values ??of the model solution exists . then given a numerical solution of the term structure model simulation with Matlab . fourth chapter , mainly with the status quo of China 's interest rate , with the CKLS model with jumps bond repurchase rate of the seven day period an empirical analysis parameter estimation method is used in the empirical analysis of maximum likelihood estimation .

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