Asymptotic expansion for interest rates with non-gaussian dependent innovations

Takayuki Shiohama*, Kenichiro Tamaki

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingChapter

1 Citation (Scopus)


We consider the effect on zero-coupon bond price and option valuation when a short rate model has non-Gaussian dependent innovations. Higher-order asymptotic theory enables approximate bond price formula and zero-coupon bond option price formula to be obtained. Some numerical examples are presented, where the process of innovation follows a particular model. These examples indicate that non-Gaussianity and dependence of innovations have a great influence on both zero-coupon bond price and option valuation.

Original languageEnglish
Title of host publicationInterest Rates
Subtitle of host publicationTerm Structure Models, Monetary Policy, and Prediction
PublisherNova Science Publishers, Inc.
Number of pages43
ISBN (Print)9781613247204
Publication statusPublished - 2013 Jan 1


  • Bond option
  • Edgeworth expansion
  • Short rates
  • Vasicek model
  • Zero-coupon bond pricing

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)
  • Social Sciences(all)


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