仿射有理势模型

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2021-09-17 DOI:10.1142/s021902492150031x

THE ANH NGUYEN, FRANK THOMAS SEIFRIED

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引用次数: 0

摘要

我们基于一组由仿射马尔可夫过程驱动的正上鞅，在潜在方法的框架中开发了一类理性期限结构模型。这些模型通常以非负利率和零债券、上限、互换和欧洲货币期权的分析定价公式为特征，即使存在多种因素。此外，在模型规范中，短期利率在较长时期内保持在下界零附近。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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THE AFFINE RATIONAL POTENTIAL MODEL

We develop a class of rational term structure models in the framework of the potential approach based upon a family of positive supermartingales that are driven by an affine Markov process. These models generally feature nonnegative interest rates and analytic pricing formulae for zero bonds, caps, swaptions, and European currency options, even in the presence of multiple factors. Moreover, in a model specification, the short rate stays near the zero lower bound for an extended period.

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.