学术研讨会

主题：The generalized arbitrage-free Nelson-Siegel model and the pricing of interest rate derivatives

主讲人介绍：陈锐, 悉尼大学金融学博士。陈博士的研究方向包括利率期限结构,金融计量，金融衍生品定等多个领域。陈博士的研究成果发表在Finance Research Letters等国际期刊。陈博士的研究成果已经在在多个国际重要会议报告并获得肯定。

时间：2012年12月21日 星期五10:30-11:30

地点：学术会堂706

主办单位：中国金融发展研究院

CAFD SEMINAR SERIES 116

TOPIC: The generalized arbitrage-free Nelson-Siegel model and the pricing of interest rate derivatives

ABSTRACT: Although the dynamic Nelson-Siegel models provide exceptional in-sample fitting and out-of-sample forecasting of interest rates, the lack of theoretical background on this model has been criticized by academics and practitioners. Most notably, the model does not exclude the possiblity of arbitrage. In this paper we develop a general Arbitrage-Free Nelson-Siegel model under the HJM framework. It features unspanned stochastic volatility factors while maintaining a Nelson-Siegel factor loading structure. The price of the interest rate derivatives, including European options, Caps and Swaptions are then obtained in closed form. We calibrate the model using an extensive panel data, including the US Libor/Swap rates, caps and swaptions. We find strong evidence that the joint framework prices interest rates and their derivatives accurately.

SPEAKER: Rui Chen, Ph.D. Dr. Chen obtained his Doctor degree in Finance from University of Sydney. His research interests include term structure modeling, financial econometrics, and financial derivative pricing. Dr. Chen has published papers in Finance Research Letters etc. Dr. Chen has presented his papers in influential international conferences such as 32nd Annual International Symposium on Forecasting, 4th CSDA International Conference on Computational and Financial Econometrics etc.

Time: December 21, 2012, Friday, 10:00-11:30

Place: Room706, Academic Hall

Organizer: Chinese Academy of Finance and Development