On the valuation of interest rate products under multi-factor HJM term-structures

Michael D. Marcozzi

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On the valuation of interest rate products under multi-factor HJM term-structures

机译：多因素HJM期限结构下的利率产品估值

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We consider the valuation of interest rate products with effected cash flow under a multifactor Heath-Jarrow-Morton (HJM) model of the term-structure of interest rates by hierarchical approximation. At the higher-level, we apply a stochastic spectral approximation of the forward rates and exhaust an indexed family of regularized Hamilton-Jacobi characterizations of the value function. At the lower-level, we utilize penalization and an extrapolation method-of-lines finite element method. Application to interest rate caps and an American discount bond option are considered in order to demonstrate the applicability of the method.

机译：我们考虑通过分层近似法在利率期限结构的多因素Heath-Jarrow-Morton（HJM）模型下对影响现金流量的利率产品进行估值。在较高级别上，我们对远期利率应用随机频谱近似，并用值函数的正则化汉密尔顿-雅各比表征的索引族。在较低的级别上，我们使用惩罚和线外推法有限元方法。为了证明该方法的适用性，考虑将其应用于利率上限和美国贴现债券期权。

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来源
《Applied numerical mathematics》 |2009年第12期|2873-2890|共18页
作者
Michael D. Marcozzi;
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作者单位

Department of Mathematical Sciences, University of Nevada, Las Vegas, NV 89154-4020, United States;

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收录信息美国《科学引文索引》(SCI);美国《工程索引》(EI);
原文格式 PDF
正文语种 eng
中图分类
关键词
interest rate products; infinite dimensional optimal stopping; stochastic spectral methods; stochastic partial differential equations; finite element methods;

机译：利率产品;无限维最佳停止;随机频谱方法;随机偏微分方程;有限元法;

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On the valuation of interest rate products under multi-factor HJM term-structures

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