随机期度与利率反向变动关系的初步研究  

On the Relationship between Stochastic Duration and Interest Rate

作　　者：张玉磊[1] 张曙光[1] 

机构地区：[1]中国科学技术大学统计与金融系,安徽合肥230026

出　　处：《运筹与管理》2005年第5期117-121,共5页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(10201029)

摘　　要：本文介绍了随机利率下相应的期度———随机期度的定义及其性质。对常见的随机利率模型Vasciek模型和CIR模型,证明了随机期度与随机利率之间存在着反向的变动关系,从而辅证了随机期度定义的合理性。In this paper, the relation between stochastic duration and interest rate is studied. We prove that for some typical interest rate models （Vasciek model and CIR model）, there is a reverse change between duration and interest rate. Such a result shows that the stochastic duration is reasonably defined.

关 键 词：随机期度 利率变动关系 利率的期限结构 CIR模型 Vasciek模型 

分 类 号：F830.1[经济管理—金融学]