Aggregation Analysis in Pedersen-Shiu-Thorlacius Model

• Autorzy: Joanna Utkin
• Języki publikacji: EN

Abstrakty

EN

The Klaassen aggregation enable us to reduce a binomial lattice of prices into two-point one-period model with larger period and it is consistent with the risk-neutral pricing principle. In general the aggregation is a computing backward procedure. Nevertheless in case of the Pedersen-Shiu-Thorlacius term structure model (which is the generalization of the Ho-Lee model) the analytical aggregation is possible. In the paper the bond prices and the pseudo¬probabilities are obtained in the analytical forms. In the aggregated model the bond prices are proved to be restricted to an interval. Also the aggregated perturbation functions are deduced and they are compared to the perturbation functions in the one-period model. (original abstract)

Słowa kluczowe

EN

Price risk; Valuation of bonds; Algorithms

PL

Ryzyko cenowe; Wycena obligacji; Algorytmy

• Czasopismo: Roczniki Kolegium Analiz Ekonomicznych / Szkoła Główna Handlowa
• Rocznik: 2008
• Numer: nr 18 Modelling and analysis of automobile insurance and financial markets
• Strony: 183--191

Twórcy

autor

Joanna Utkin

• Szkoła Główna Handlowa w Warszawie

Bibliografia

• Ho T., Lee S. (1986), Term structure movements and pricing interest rate contingent claims. Journal of Finance 41, s. 1011-1029.
• Jarrow R. (2002), Modelling fixed income securities and interest rate option. Stanford Univ. Press.
• Klaassen P. (1998), Financial asset pricing theory and stochastic programming models for asset/liability management. A synthesis. Management Science 44, s. 31-48.
• Pedersen H., Shiu E., Thorlacius A. (1989), Arbitrage free pricing of interest rate contingent claims. Transactions pf the Society of Actuaries 41, s. 237-279.
• PLISKA s. (2005), Wprowadzenie do matematyki finansowej. Modele z czasem dyskretnym, WNT, Warszawa.
• Utkin J. (2007), Agregancja a oczekiwany zwrot w terminie horyzontu na skończonym jednoczynnikowym rynku obligacji. Research Report 03/S/0075/06, Szkoła Główna Handlowa w Warszawie.