| Estimation for Jump-diffusion Term Structure of Interest Rate for China Government Bond Market |
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| 作者姓名： | Li Zhou Jinlin Li Junfeng Li |
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| 作者单位： | School of Management and Economics, Beijing Institute of Technology, Beijing 100081, China |
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| 摘 要： |
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| 关 键 词： | 利率 跳跃扩散 B样条逼近 随机过程 中国 |
| 收稿时间： | 2005-10-16 |
Estimation for Jump-diffusion Term Structure of Interest Rate for China Government Bond Market |
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| Li Zhou Jinlin Li Junfeng Li.Estimation for Jump-diffusion Term Structure of Interest Rate for China Government Bond Market[J].Journal of Sysytems Science and Information,2006,4(1):67-71. |
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| Authors: | Li;Zhou;Jinlin;Li;Junfeng;Li |
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| Abstract: | This paper examines the term structure of interest rate empirically, and discovers that jump-diffusion process is better than pure diffusion process when describing the stochastic behavior of interest rate, which including jump risk. Using two-stage method to estimate the term structure of China government bond market. Fitting the initial term structure with B-spline approximation method, and then as input to jump-diffusion model parameter estimation. The result accounts for that term structure with jump can explain the actual conditions of China government bond market. |
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| Keywords: | term structure of interest rate jump-diffusion B-spline approximation |
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