摘要
本文研究了由文[4]( KENNEDY D P.The term structure of interest rates as a Gaussian randomfield[J] .Mathematical Finance ,1994 ,4(3) :247-258 .)提出的利率期限结构模型下的债券价格过程,并获得了债券价格曲线是一条Hausdorff维数为3/2的分形曲线.
In this paper,we study the bond-price process in the term structure model of interest rates proposed by Ref.[4]（KENNEDY D P.The term structure of interest rates as a Gaussian random field[J].Mathematical Finance,1994,4（3）：247-258.） and obtain that the bond-price curve is a fractal with Hausdorff dimension 3/2.
出处
《应用数学》
CSCD
北大核心
2010年第4期890-896,共7页
Mathematica Applicata
基金
Supported by the Office of Hubei Province Key Laboratory of Systems Science in Metal-lurgical Process (C201008)
关键词
债券价格过程
分形性质
期限结构模型
Fractal property
Bond-price process
Term structure models
