Generalizations of Ho-Lee's binomial interest rate model I: From one- to multi-factor

被引：4
|
作者：
Akahori J. [1 ]
Aoki H. [2 ]
Nagata Y. [3 ]
机构：
[1] Department of Mathematical Sciences, Ritsumeikan University, Kusatsu, Shiga 525-8577
[2] Department of Mathematics, Tokyo University of Science, Noda, Chiba
[3] Risk Management Department, Mizuho Trust and Banking Co. Ltd., Tokyo 103-8670
来源：
Asia-Pacific Financial Markets | 2006年 / 13卷 / 2期
关键词：
Drift condition; Duration; Forward rate; Ho-Lee model; Multi-factor; Recombining tree; Stationary increments;
D O I：
10.1007/s10690-007-9039-8
中图分类号：
学科分类号：
摘要：
In this paper a multi-factor generalization of Ho-Lee model is proposed. In sharp contrast to the classical Ho-Lee, this generalization allows for those movements other than parallel shifts, while it still is described by a recombining tree, and is a process with stationary independent increments to be compatible with principal component analysis. Based on the model, generalizations of duration-based hedging are proposed. A continuous-time limit of the model is also discussed. © Springer Science+Business Media, LLC 2007.
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页码：151 / 179
页数：28
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