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Title
Modeling the Term Structure of Interest Rates with General Diffusion Processes: A Moment Approximation Approach
Creator
Creator Name
Takamizawa, Hideyuki Takamizawa, Hideyuki
高見澤, 秀幸 高見澤, 秀幸
Affiliation
Affiliation Name
University of Tsukuba
Creator Name
Shoji, Isao Shoji, Isao
庄司, 功 庄司, 功
Affiliation
Affiliation Name
University of Tsukuba
Key Word
Short-rate
Term structure
Approximation
Conditional moment
JEL
C63
G12
Abstract (distribution restricted)
We propose an analytical approximation of the term structure of interest rates under general diffusion processes of the short-rate and state variables. A method of approximating conditional moments as the solution to a system of ordinary differential equations is applied to the pricing of bonds. Numerical experiments based on two illustrative models show that the second-order approximation is accurate for maturities of up to five years and the third-order approximation is effective for longer maturities. We also show the possibility of improving the second-order approximation without much increasing the computational burden.
Description
This version: October, 2007 (The previous version: October, 2006)
Publisher
Graduate School of Economics, Hitotsubashi University
Issued Date
2007-10
Language
英語(eng)
Resource Type
technical report（テクニカルレポート）
Version Type
VoR
Relation - Is Part Of
Related Title
Discussion papers ; No. 2006-05
Number of Pages
17
Edition
[Revised version]
Appears in Collections
Discussion papers / Graduate School of Economics, Hitotsubashi University
URL
https://hdl.handle.net/10086/16977