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dc.contributor.advisorCairns, Professor Andrew J.G.
dc.contributor.authorBi, Jiangchun
dc.date.accessioned2010-11-26T10:02:46Z
dc.date.available2010-11-26T10:02:46Z
dc.date.issued2009-10
dc.identifier.urihttp://hdl.handle.net/10399/2313
dc.description.abstractIn this thesis, we consider some two-factor short rate models that incorporate stochastic volatility with jumps. The motivation for studying such kinds of model is to overcome the shortcomings of di usion-based stochastic models and to provide a more accurate description of the empirical characteristics of the short rates. In our rst model, a jump process for the short-rate volatility is described with jump times generated by a Poisson process and with jump sizes following exponential distribution. Secondly, we extend the volatility model further by taking a superposition of two independent jump processes. We present the corresponding Markov chain Monte Carlo estimation algorithm and provide estimation results of candidate model parameters, latent volatility processes and the jump processes using the 3- month U.S. Treasury Bill rates. Finally, we apply our models to price fixed-income products through Monte Carlo simulation.en_US
dc.language.isoenen_US
dc.publisherHeriot-Watt Universityen_US
dc.publisherMathematics and Computer Scienceen_US
dc.rightsAll items in ROS are protected by the Creative Commons copyright license (http://creativecommons.org/licenses/by-nc-nd/2.5/scotland/), with some rights reserved.
dc.titleInterest rate models with non-gaussian driven stochastic volatilityen_US
dc.typeThesisen_US


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