关键词: 随机波动率, 跳跃扩散过程, Libor市场模型, 参数市场校准, 马尔科夫链蒙特卡罗模拟

Abstract: In view of the application limitation of jump-diffusion Libor market model (JD-LMM) and stochastic -volatility Libor market model (SV-LMM), firstly it introduces the normal jump diffusion and Heston stochastic volatility into the standard Libor market model, and sets up a new dual driving non-standardized Libor market model (SVJD-LMM). Secondly, using interest rate derivative securities market data such as Cap(Caplet) and the Sswaption market volatility,and Black inverse parameters calibrating methods it makes an effective market calibration for some model parameters such as local volatility and instantaneous correlation coefficient . Then, on the basic of adaptive Markov chain Monte Carlo simulation method (MCMC), an effective theory estimation and empirical simulation of other models parameters areis given.. Finally, according to actual data of the six- months US Libor forward rate, it gives an calculation and comparative analysis to the above three models. The research conclusions are: in view of the short-term Libor, compared with LMM and SV-LMM, SVJD-LMM model has less simulation errors and better simulation effect.

Key words: Stochastic Volatility, Jump-Diffusion Process, Market Calibration on Parameters, Adaptive Markov Chain Monte Carlo Simulation, Libor Market Models