报告人:Carl Chiarella (University of Technology,

Sydney School of Finance and Economics Sydney, Australia)

题目: Pricing Interest Rate Derivatives in a Multifactor HJM Model

with Time Dependent Volatility

时间: 周四(10月20日)下午3:30

地点: 数学系107.

报告摘要: We investigate the partial differential equation (PDE) for pricing interest derivatives in the multi-factor Cheyette Model, that involves time-dependent volatility functions with a special structure. The high dimensional parabolic PDE that results is solved numerically via a modified sparse grid approach, that turns out to be accurate and efficient. In addition we study the corresponding Monte Carlo simulation, which is fast since the distribution of the state variables can be calculated explicitly. The results obtained from both methodologies are compared to the analytical solution existing for bonds and caplets.

Keywords: Cheyette Model, Gaussian HJM, Multi-Factor Model, PDE Valuation, Sparse Grid, Monte Carlo Simulation

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