南方科技大学知识苑(SUSTech KC): Bond and option pricing for interest rate model with clustering effects

题名	Bond and option pricing for interest rate model with clustering effects
作者	Zhang, Xin 1; Xiong, Jie2,3 ; Shen, Yang 4
通讯作者	Zhang, Xin
发表日期	2018
DOI	10.1080/14697688.2017.1388534
发表期刊	QUANTITATIVE FINANCE 影响因子和分区
ISSN	1469-7688
EISSN	1469-7696
卷号	18 期号:6页码:969-981
摘要	This paper analyzes an interest rate model with self-exciting jumps, in which a jump in the interest rate model increases the intensity of jumps in the same model. This self-exciting property leads to clustering effects in the interest rate model. We obtain a closed-form expression for the conditional moment-generating function when the model coefficients have affine structures. Based on the Girsanov-type measure transformation for general jump-diffusion processes, we derive the evolution of the interest rate under the equivalent martingale measure and an explicit expression of the zero-coupon bond pricing formula. Furthermore, we give a pricing formula for the European call option written on zero-coupon bonds. Finally, we provide an interpretation for the clustering effects in the interest rate model within a simple framework of general equilibrium. Indeed, we construct an interest rate model, the equilibrium state of which coincides with the interest rate model with clustering effects proposed in this paper.
关键词	Interest rate modelling Marked point process Hawkes processes Bond pricing Bond option
相关链接	[来源记录]
收录类别	SCI ; SSCI
语种	英语
学校署名	其他
资助项目	Natural Sciences and Engineering Research Council of Canada[RGPIN-2016-05677]
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Business, Finance ; Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS记录号	WOS:000436234700007
出版者	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
ESI学科分类	ECONOMICS BUSINESS
来源库	Web of Science
引用统计	被引频次[WOS]：6
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/28294
专题	理学院_数学系工学院_材料科学与工程系
作者单位	1.Southeast Univ, Sch Math, Nanjing 211189, Jiangsu, Peoples R China 2.Univ Macau, Dept Math, Taipa, Macau, Peoples R China 3.Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Peoples R China 4.York Univ, Dept Math & Stat, Toronto, ON M3J 1P3, Canada
推荐引用方式 GB/T 7714	Zhang, Xin,Xiong, Jie,Shen, Yang. Bond and option pricing for interest rate model with clustering effects[J]. QUANTITATIVE FINANCE,2018,18(6):969-981.
APA	Zhang, Xin,Xiong, Jie,&Shen, Yang.(2018).Bond and option pricing for interest rate model with clustering effects.QUANTITATIVE FINANCE,18(6),969-981.
MLA	Zhang, Xin,et al."Bond and option pricing for interest rate model with clustering effects".QUANTITATIVE FINANCE 18.6(2018):969-981.