Hull-White短期利率模型参数估计  

Parameter Estimation of Hull-White Model for Short Term Interest Rrate

作　　者：林鸿熙 江良 LIN Hong-xi;JIANG Liang(School of Business,Putian Univeristy,Putian 351100,China;School of Mathematics and Finance,Putian University,Putian 351100,China)

机构地区：[1]莆田学院商学院,福建莆田351100 [2]莆田学院数学与金融学院,福建莆田351100

出　　处：《数学的实践与认识》2018年第24期144-151,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11471175);福建省自然科学基金(2016J01677,2017J01565);福建省社科规划项目(FJ2018B065);莆田学院科研项目(2016AHX63,2017AHX74)

摘　　要：基于Hull-White短期利率模型,提出了一种有效的正则化方法给出模型稳定的参数估计.实证结果表明了直接估计具有时间变量参数是不稳定,而正则化方法通过调整正则化参数获得稳定的估计结果.此外,比较Vasicek模型和Hull-White模型的拟合结果.后者得到很大的改善.Based on Hull-White model for short term interest rate,this paper provide a stable effective regularization method to estimate the parameters in the model.Empirical results show that direct estimation of parameters with varying-time parameters is unstable, and the stable estimation results will be obtained by regularization method with an available regularizatizing parameters.In addition,comparing with Vasicek and Hull-White model,the fitting results will be improved for the latter.

关 键 词：零息债券 短期利率 正则化 

分 类 号：O212.1[理学—概率论与数理统计]