一个动态化的利率期限结构模型群

A Class of Models of the Term Structure of Interest Rates

本文在 Heath,Jarrow和 Morton理论框架内提出一个具有以一组状态变量发展为特征的动态化利率期限结构模型群 ;对其中的所有模型得到了仅依赖于两个状态变量的债券定价方法。

This paper develops a class of models of the term structure of interest rate, in the Heath, Jarrow, and Morton framework, with dynamics characterized by the evolution of a small set of state variables. For all the models in this class, we obstain approaches to price bonds.