Authors
Rusakov О.
|
Degree
|
PhD in Physic & Mathematic, Associate Professor of Saint-Petersburg State University |
|---|---|
|
E-mail
|
ovirusakov@yahoo.co.uk |
|
Location
|
Saint-Petersburg |
|
Articles
|
A multifactorial generalization of the Vasicek model: example of spot-rates with two factorsWe introduce a generalization of the Vasicek model, when a spot-rate consists in a weighted sum
of the Ornstein-Uhlenbeck processes with different values of the viscosity parameter. Our generalization
gives a model and quantitative valuation in such type of the market non-homogeneity, when the
spot rate is forming by agents of different types of their behavior. We derive formulae for the spot-rate
forecast and for estimation of the corresponding square risks. For estimation of weights of agents
and estimation of an inertness coefficient of their investments, we execute method of the numerical
inverse Laplace transform, which is applied to historical data of auto-covariance time series of the
spot rates. As a result, we obtain a number of numerical expressions for the spot-rates of obligations
of USA, Japan, and Russia, where two types of agents are distinguished by inertness of their money
criteria, and their corresponding two relative weights are estimated. The results obtained in the paper
may be applied in decision support systems for spot-rates forecasting. Developed methods may
be helpful for an investor who makes tactical or/and strategic decisions as well as an analyst for estimating
quantitative characteristics of market interest rates risk and dynamics.
Read more...
|
