仿射利率期限结构的信息延时模型(英文)  

Affine Term-structure Models with Delays

作　　者：唐潋[1] 陈志寅[1] 

机构地区：[1]南开大学数学科学学院,天津300071

出　　处：《南开大学学报（自然科学版）》2013年第5期17-26,共10页Acta Scientiarum Naturalium Universitatis Nankaiensis

摘　　要：考虑了有延时信息影响下的仿射利率期限结构模型,其中延时信息是通过一组连续时间随机延时微分方程来刻画的.利用收敛结果,比较了这种模型和带滞后项的离散模型的关系.类似于经典仿射模型,还得到了该模型的条件特征函数,此函数应用在零息债券的定价中,可以产生更多不同形状的利率期限结构.The affine term-structure model is generalized by adding the effect of past information, which are characterized by a class of non-Markov systems of stochastic processes solved by stochastic delay differential e- quations. For our models, it＇s shown that these type of models can be linked to discrete-time models which in- clude lags by convergence results. For application of our model, the quasi-explicit representations of the zero coupon bonds and conditional character function are obtained, and our models have higher flexibility and pro- duce examples of more types of term structure shapes.

关 键 词：仿射利率期限结构 随机延时微分方程 

分 类 号：O211.9[理学—概率论与数理统计]