ショートレートモデル
(Short-rate model から転送)
出典: フリー百科事典『ウィキペディア(Wikipedia)』 (2018/10/21 07:00 UTC 版)
ショートレートモデル(英: short-rate model)とは、金利デリバティブの文脈において、通常 と書かれるショートレートの将来の変動を記述する事によって将来の利子率の変動を表す数理モデルである。
- ^ Short rate models, Prof. Andrew Lesniewski, NYU
- ^ An Overview of Interest-Rate Option Models, Prof. Farshid Jamshidian, University of Twente
- ^ Continuous-Time Short Rate Models, Prof Martin Haugh, Columbia University
- ^ a b Binomial Term Structure Models, Mathematica in Education and Research, Vol. 7 No. 3 1998. Simon Benninga and Zvi Wiener.
- ^ Merton, Robert C. (1973年). “Theory of Rational Option Pricing”. Bell Journal of Economics and Management Science 4 (1): 141–183. doi:10.2307/3003143.
- ^ Vasicek, Oldrich (1977年). “An Equilibrium Characterisation of the Term Structure”. Journal of Financial Economics 5 (2): 177–188. doi:10.1016/0304-405X(77)90016-2.
- ^ Rendleman, Jr., Richard J.; Bartter, Brit J. (1980年). “The Pricing of Options on Debt Securities”. Journal of Financial and Quantitative Analysis 15: 11–24. doi:10.2307/2979016.
- ^ Cox, John C.; Ingersoll, Jonathan E.; Ross, Stephen A. (1985年). “A Theory of the Term Structure of Interest Rates”. Econometrica 53: 385–407. doi:10.2307/1911242. JSTOR 1911242.
- ^ Ho, Thomas S. Y.; Lee, Sang Bin (1986年). “Term Structure Movements and Pricing Interest Rate Contingent Claims”. Journal of Finance 41. doi:10.2307/2328161.
- ^ Hull, John C.; White, Alan (1990年). “Pricing Interest-rate Derivative Securities”. Review of Financial Studies 3 (4): 573–592. doi:10.1093/rfs/3.4.573 .
- ^ Leippold, Markus; Wiener, Zvi (2004年). “Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models”. Review of Derivatives Research 7 (3): 213-239. doi:10.1007/s11147-004-4810-8 .
- ^ Black, Fischer; Derman, Emanuel; Toy, William (1990年). “A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options”. Financial Analysts Journal: 24–32. doi:10.2469/faj.v46.n1.33 .
- ^ Black, Fischer; Karasinski, Piotr (1991年). “Bond and Option Pricing When Short Rates Are Lognormal”. Financial Analysts Journal: 52–59. doi:10.2469/faj.v47.n4.52 .
- ^ Short Rate Models, Professor Ser-Huang Poon, Manchester Business School
- ^ Kalotay, Andrew J.; Williams, George O.; Fabozzi, Frank J. (1993年). “A Model for Valuing Bonds and Embedded Options”. Financial Analysts Journal (CFA Institute Publications) 49 (3): 35–46. doi:10.2469/faj.v49.n3.35 .
- ^ Kopprasch, Robert (1987年). Effective Duration of Callable Bonds: The Salomon Brothers Term Structure-based Option Pricing Model. Salomon Bros. .
- ^ Tuckman, Bruce; Serrat, Angel (2011). Fixed Income Securities: Tools for Today's Markets. Hoboken, NJ: Wiley. ISBN 0470891696.のページ218を参照せよ。
- ^ Pitfalls in Asset and Liability Management: One Factor Term Structure Models, Dr. Donald R. van Deventer, Kamakura Corporation
- ^ Longstaff, Francis A.; Schwartz, Eduardo S. (1992年). “Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model”. The Journal of Finance 47 (4): 1259–82. doi:10.1111/j.1540-6261.1992.tb04657.x .
- ^ Chen, Lin (1996年). “Stochastic Mean and Stochastic Volatility — A Three-Factor Model of the Term Structure of Interest Rates and Its Application to the Pricing of Interest Rate Derivatives”. Financial Markets, Institutions, and Instruments 5 (1): 1–88.
- 1 ショートレートモデルとは
- 2 ショートレートモデルの概要
- 3 他の金利モデル
- ショートレートモデルのページへのリンク