Authors

Apleev D.

Degree	Postgraduate of Saint-Petersburg State University
E-mail	apleev@yahoo.com
Location	Saint-Petersburg
Articles	A multifactorial generalization of the Vasicek model: example of spot-rates with two factors We introduce a generalization of the Vasicek model, when a spot-rate consists in a weighted sum of the Ornstein-Uhlenbeck processes with different values of the viscosity parameter. Our generalization gives a model and quantitative valuation in such type of the market non-homogeneity, when the spot rate is forming by agents of different types of their behavior. We derive formulae for the spot-rate forecast and for estimation of the corresponding square risks. For estimation of weights of agents and estimation of an inertness coefficient of their investments, we execute method of the numerical inverse Laplace transform, which is applied to historical data of auto-covariance time series of the spot rates. As a result, we obtain a number of numerical expressions for the spot-rates of obligations of USA, Japan, and Russia, where two types of agents are distinguished by inertness of their money criteria, and their corresponding two relative weights are estimated. The results obtained in the paper may be applied in decision support systems for spot-rates forecasting. Developed methods may be helpful for an investor who makes tactical or/and strategic decisions as well as an analyst for estimating quantitative characteristics of market interest rates risk and dynamics. Read more...