商务统计与经济计量系讲座信息（201207）

Title（标题）：Solving the bond-pricing problem for non-affine interest rate diffusions

Speaker（汇报人）：Prof. Robert Kimmel, EDHEC Business School

Time（功夫）：2012年4月12日（周四）下午2:00

Place（地址）：拉斯维加斯9888新楼217教室

Abstract（提要）：We consider a large class of term structure models for which bond prices can be approximated using power series in the maturity variable. Although in some cases bond prices are not analytic in this variable (and therefore the series do not converge), the bond price function can be shown to be analytic in the maturity variable for a much larger class of interest rate models than is extant in the literature. When a non-affine change of the time variable is applied, uniform convergence for all maturities can often be established, i.e., the approximate price function will be as accurate for a thirty-year bond as for a one-week bond. Although the papers focus mostly on single-actor interest rate models, we also consider multivariate extensions.

About the speaker（汇报人介绍）：Robert Kimmel is Professor of Finance. He joined EDHEC Business School from the Fisher College of Business at Ohio State University in September 2010. He was previously Assistant Professor at Princeton University, serving in the Department of Economics and at the Bendheim Centre for Finance. His research interests have to do with non-linear models of the term structure of interest rates, estimation of continuous-time stochastic processes, and theoretical asset pricing models. He has published in top finance journals, notably in the Journal of Financial Economics, and refereed for more than twenty leading journals in financial economics, financial econometrics, and quantitative methods.