Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes

<table class="table-group" width="800px"><tr class="fig-image" id="a"><td><img alt="540803.fig.001a" src="https://static.hindawi.com/articles/mpe/volume-2014/540803/figures/540803.fig.001a.jpg"/></td></tr><tr class="fig-caption"><td align="center"><table><tr><td><b>(a) </b>Daily closing prices</td></tr></table></td></tr><tr class="fig-image" id="b"><td><img alt="540803.fig.001b" src="https://static.hindawi.com/articles/mpe/volume-2014/540803/figures/540803.fig.001b.jpg"/></td></tr><tr class="fig-caption"><td align="center"><table><tr><td><b>(b) </b>Daily log returns</td></tr></table></td></tr><tr class="fig-image" id="c"><td><img alt="540803.fig.001c" src="https://static.hindawi.com/articles/mpe/volume-2014/540803/figures/540803.fig.001c.jpg"/></td></tr><tr class="fig-caption"><td align="center"><table><tr><td><b>(c) </b>Q-Q plot</td></tr></table></td></tr><tr class="fig-image" id="d"><td><img alt="540803.fig.001d" src="https://static.hindawi.com/articles/mpe/volume-2014/540803/figures/540803.fig.001d.jpg"/></td></tr><tr class="fig-caption"><td align="center"><table><tr><td><b>(d) </b>Probability density of the return</td></tr></table></td></tr></table>

<table>Some statistical figures of daily returns for the O/N SHIBOR rate from October 8th 2006 to September 10th 2012.</table>

Mathematical Problems in Engineering

fig1

Figure 1

Figure 1: Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes 