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首页> 外文会议>Seminar on Stochastic Analysis, Random Fields, and Applications >Affine Variance Swap Curve Models
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Affine Variance Swap Curve Models

机译：仿射方差交换曲线模型

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This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor models. We propose a novel drift parametrization which assures that the components of the state process can be matched with any pre-specified points on the variance swap curve. This should facilitate the empirical estimation for such stochastic models. Moreover, sufficient and yet flexible conditions that guarantee positivity of the rates are readily available. We finally discuss the relation and differences to affine yield-factor models introduced by Duffie and Kan [8]. It turns out that, in contrast to variance swap models, their yield factor representation requires imposing constraints on systems of nonlinear equations that are often not solvable in closed form.
机译：本文简要概述了方差交换曲线的随机造型。重点是仿射因子模型。我们提出了一种新的漂移参数化，并确保了状态过程的组件可以与方差交换曲线上的任何预先指定的点匹配。这应该有助于这种随机模型的实证估计。此外，充分且灵活的条件可容易获得利率的积极性。我们终于讨论了Duffie和KAN引入的仿射产量因子模型的关系和差异[8]。事实证明，与方差交换模型相比，它们的产量因子表示需要对通常不可溶解的非线性方程的系统强加约束。

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