概要

日時:2014年1月30日(木) 14:40-16:10
場所:3号館1階116室
講演者:田中敬一氏(首都大学東京)
タイトル:Regime Switching among Several Short Rate Models

【Abstract】
We study the evaluation of contingent claims under a regime switching environment where either the dynamics or the level of the short rate is switched among ones of several short rate models. This paper decomposes the solution to the system of partial differential equations with terms represented by recursive integrals in a meaningful way by making use of the homotopy perturbation method. Some examples of the bond price decomposition and the derived term structure of yield curve are presented and discussed. The greeks of the contingent claim price is also derived in the same form.