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.003a" src="https://static.hindawi.com/articles/mpe/volume-2014/540803/figures/540803.fig.003a.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.003b" src="https://static.hindawi.com/articles/mpe/volume-2014/540803/figures/540803.fig.003b.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.003c" src="https://static.hindawi.com/articles/mpe/volume-2014/540803/figures/540803.fig.003c.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.003d" src="https://static.hindawi.com/articles/mpe/volume-2014/540803/figures/540803.fig.003d.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 2-week SHIBOR rate from October 8th 2006 to September 10th 2012.</table>

Mathematical Problems in Engineering

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Figure 3

Figure 3: Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes 