文章基本信息

标题：Inferring Volatility from the Yield Curve
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作者：Vincent Brousseau ; Alain Durré
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2015
卷号：05
期号：03
页码：304-314
DOI：10.4236/jmf.2015.53026
语种：English
出版社：Scientific Research Publishing
摘要：In this paper, we assess how to recover the volatility of interest rates in the euro area money market, on the sole basis of the zero-coupon yield curve. Our primary result is that there exists an empirical regularity (linking rates and volatility) that takes a relatively simple mathematical form. We also show that the existence of such regularity cannot be explained by a reasoning based on the hypothesis of absence of opportunities of arbitrage since a continuous-time arbitrage-free model may produce instances of curves that are consistent with a continuum of level of volatilities. We exhibit an example for this.
关键词：Yield Curve;Volatility;Consol Volatility;Affine Model