摘要
本文将非瞬时利率作为状态变量,通过Vasicek双因素期限结构模型得到了随机久期和凸度,并且讨论了考虑违约风险的Vasicek随机久期和凸度,使得对债券进行投资时,用Vasicek模型进行利率风险管理更加符合实际情况。
The article makes non - instantaneous interest rate as state variables, through the two - factor Vasieek term structure model got the random duration and convexity, and discussed Vasicek random duration and convexity based on the default risk, when investing in bonds, Vasicek model will be more in line with the actual situation in interest rate risk management.
出处
《数学理论与应用》
2010年第1期67-70,共4页
Mathematical Theory and Applications
