苏州科技大学学报（自然科学版）2018，Vol.35Issue(1)：33-38,6.DOI:10.12084/j.issn.2096-3289.2018.01.007
跳跃扩散Cox-Ingersoll-Ross利率模型
Jump-diffusion Cox-Ingersoll-Ross model
摘要
Abstract
In classical time-homogeneous short-rate models, the model developed by Cox, Ingersoll and Ross added square-root term in the diffusion coefficient of the dynamics proposed by Vasicek, which ensures that the instantaneous short rate is always positive. In order to draw a better picture of the stochastic changes of the real-world interest rates, we mainly discussed the jump diffusion Cox-Ingersoll-Ross model. Using the Monte Carlo numerical simulation method to simulate the jump diffusion path of this model and approaching the Laplace In-version of the characteristic function, we implemented effective numerical approximation over transition density function and likelihood function. Based on this, we made the Bayesian estimation of the jump-diffusion Cox-In-gersoll-Ross model and ultimately achieved good results.关键词
利率/Cox-Ingersoll-Ross模型/跳跃扩散随机过程/Laplace逆变换/MonteCarlo/贝叶斯估计Key words
interest rate/Cox-Ingersoll-Ross model/jump-diffusion stochastic process/Laplace inversion/Monte Carlo/Bayesian estimation分类
数理科学引用本文复制引用
盛洁,闫理坦..跳跃扩散Cox-Ingersoll-Ross利率模型[J].苏州科技大学学报（自然科学版）,2018,35(1):33-38,6.基金项目
国家自然科学基金资助项目(11571071) （11571071）
