论文标题
一个纯粹的均值回顾短率模型
A pure-jump mean-reverting short rate model
论文作者
论文摘要
提出了一个新的多因素短率模型，该模型由下面的实现函数从下面界定。均值的短速率过程以纯种的Ornstein（uhlenbeck过程）为模型，以使相关债券价格具有仿射表示。还提供了相关的瞬时远期速率的动力学，并得出了该模型可以通过市场校准的条件。该模型的分析障碍是通过推导明确的普通香草期权价格公式来说明的。从实际的应用中查看，提出了适当的概率分布用于驾驶跳跃过程。该论文是通过提出危险后的危机后延伸后的结论。
A new multi-factor short rate model is presented which is bounded from below by a real-valued function of time. The mean-reverting short rate process is modeled by a sum of pure-jump Ornstein--Uhlenbeck processes such that the related bond prices possess affine representations. Also the dynamics of the associated instantaneous forward rate is provided and a condition is derived under which the model can be market-consistently calibrated. The analytical tractability of this model is illustrated by the derivation of an explicit plain vanilla option price formula. With view on practical applications, suitable probability distributions are proposed for the driving jump processes. The paper is concluded by presenting a post-crisis extension of the proposed short and forward rate model.
