Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations

Tetsuhiro Honda; Kenichiro Tamaki; Takayuki Shiohama

doi:10.1016/j.frl.2009.12.001

Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations

Tetsuhiro Honda, Kenichiro Tamaki, Takayuki Shiohama

School of Political Science and Economics

Research output: Contribution to journal › Article

4 Citations (Scopus)

Abstract

This paper considers the effect on zero-coupon bond price valuation when short rate model has non-Gaussian dependent innovations. Higher order asymptotic theory enables us to obtain the approximate bond price formula. Some numerical examples are presented, where the process of innovations follows particular model. These examples indicate non-Gaussianity and dependency of innovations have a great influence on zero-coupon bond price.

Original language	English
Pages (from-to)	60-69
Number of pages	10
Journal	Finance Research Letters
Volume	7
Issue number	1
DOIs	https://doi.org/10.1016/j.frl.2009.12.001
Publication status	Published - 2010 Mar 1

Fingerprint

Keywords

Edgeworth expansion
Short rates
Vasicek model
Zero-coupon bond pricing

ASJC Scopus subject areas

Finance

Cite this

Honda, T., Tamaki, K., & Shiohama, T. (2010). Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations. Finance Research Letters, 7(1), 60-69. https://doi.org/10.1016/j.frl.2009.12.001

@article{19f645078e3d464382472b86b8ffcd50,

title = "Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations",

abstract = "This paper considers the effect on zero-coupon bond price valuation when short rate model has non-Gaussian dependent innovations. Higher order asymptotic theory enables us to obtain the approximate bond price formula. Some numerical examples are presented, where the process of innovations follows particular model. These examples indicate non-Gaussianity and dependency of innovations have a great influence on zero-coupon bond price.",

keywords = "Edgeworth expansion, Short rates, Vasicek model, Zero-coupon bond pricing",

author = "Tetsuhiro Honda and Kenichiro Tamaki and Takayuki Shiohama",

year = "2010",

month = mar

day = "1",

doi = "10.1016/j.frl.2009.12.001",

language = "English",

volume = "7",

pages = "60--69",

journal = "Finance Research Letters",

issn = "1544-6123",

publisher = "Elsevier BV",

number = "1",

}

TY - JOUR

T1 - Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations

AU - Honda, Tetsuhiro

AU - Tamaki, Kenichiro

AU - Shiohama, Takayuki

PY - 2010/3/1

Y1 - 2010/3/1

N2 - This paper considers the effect on zero-coupon bond price valuation when short rate model has non-Gaussian dependent innovations. Higher order asymptotic theory enables us to obtain the approximate bond price formula. Some numerical examples are presented, where the process of innovations follows particular model. These examples indicate non-Gaussianity and dependency of innovations have a great influence on zero-coupon bond price.

AB - This paper considers the effect on zero-coupon bond price valuation when short rate model has non-Gaussian dependent innovations. Higher order asymptotic theory enables us to obtain the approximate bond price formula. Some numerical examples are presented, where the process of innovations follows particular model. These examples indicate non-Gaussianity and dependency of innovations have a great influence on zero-coupon bond price.

KW - Edgeworth expansion

KW - Short rates

KW - Vasicek model

KW - Zero-coupon bond pricing

UR - http://www.scopus.com/inward/record.url?scp=76549135901&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=76549135901&partnerID=8YFLogxK

U2 - 10.1016/j.frl.2009.12.001

DO - 10.1016/j.frl.2009.12.001

M3 - Article

AN - SCOPUS:76549135901

VL - 7

SP - 60

EP - 69

JO - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

IS - 1

ER -

Access to Document

10.1016/j.frl.2009.12.001