连续时间利率期限结构的无套利模型

Arbitrage-Free Models of Continuous-Time Term Structure Models

由于利率期限结构的均衡模型不能与观察到的期限结构想吻合,提出两种无套利利率期限结构模型———校准模型和HJM模型,试图解释利率期限结构的动态过程。无套利模型中假设经济中无套利机会存在,利用金融经济学第一基本定理,推导利率期限结构的动态过程。

Since the equilibrium models of the term structure of interest rates do not automatically fit the observable term structure , this paper gives two types arbitrage - free models, namely calibrated model and HIM model, to explain the dynamics process of term structure.