{"created":"2021-03-01T07:02:48.644391+00:00","id":42865,"links":{},"metadata":{"_buckets":{"deposit":"6df50326-0919-4745-ae91-3ef22b2267f7"},"_deposit":{"id":"42865","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42865"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042865","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2010-04","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-737","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"This paper presents a new approximation formula for pricing swaptions and caps/floors under the Libor market model of interest rates (LMM) with the local and affine-type stochastic volatility. In particular, two approximation methods are applied in pricing, one of which is so called “drift-freezing” that fixes parts of the underlying stochastic processes at their initial values. Another approximation is based on an asymptotic expansion approach. An advantage of our method is that those approximations can be applied in a unified manner to a general class of local-stochastic volatility models of interest rates. // To demonstrate effectiveness of our method, the paper takes CEVHeston LMM and Quadratic-Heston LMM as examples; it confirms sufficient flexibility of the models for calibration in a caplet market and enough accuracies of the approximation method for numerical evaluation of swaption values under the models.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Revised in October 2011 and February 2012; forthcoming in Wilmott Journal.","subitem_description_type":"Other"},{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"98551","nameIdentifierScheme":"WEKO"}],"names":[{"name":"白谷, 健一郎"}]},{"nameIdentifiers":[{"nameIdentifier":"98552","nameIdentifierScheme":"WEKO"}],"names":[{"name":"高橋, 明彦"}]}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf737ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Mizuho-DL Financial Technology Co.,Ltd."},{"subitem_text_value":"Graduate School of Economics, the University of Tokyo"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Shiraya, Kenichiro"}],"nameIdentifiers":[{"nameIdentifier":"98548","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"98549","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Yamazaki, Akira"}],"nameIdentifiers":[{"nameIdentifier":"98550","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Asymptotic Expansion","subitem_subject_scheme":"Other"},{"subitem_subject":"Local Volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"Affine-type Stochastic Volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"Libor Market Model","subitem_subject_scheme":"Other"},{"subitem_subject":"Approximation Formula","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42865","relation_version_is_last":true,"title":["Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:01.019380+00:00"}