摘要
本文通过选用任一给定到期日的零息票债券收益率作为模型状态变量,在HJM框架下引入了广义久期和凸度,推广了利率风险管理中的传统久期和凸度,从而扩展了现有文献在这方面的研究。此外,还通过两个波动结构确定的HJM模型具体说明了所推广得到的久期和凸度在测度债券价格对利率变化敏感性中的应用情况。
Based on a zero-coupon bond yield for an arbitrary maturity as state variable, the paper introduces generalized duration and convexity under HIM framework, and extends the traditional duration and convexity measure in risk management of interest rate. In addition, the paper presents the results of generalized duration and convexity measuring sensitivity of bond price with respect to change in interest rate for two deterministic volatility structure HJM models.
关键词
利率风险管理
HJM框架
广义随机久期和凸度
Risk management of interest rate
HJM framework
Generalized stochastic duration and convexity
