Ross修复理论和利率期限结构（英文）  

Ross Recovery and the Term Structure of Interest Rates

作　　者：叶露[1,2] 王冠英[3] 

机构地区：[1]南开大学数学科学学院,天津300071 [2]浙江理工大学经济管理学院生态文明研究中心,浙江杭州310018 [3]天津大学管理与经济学部,天津300072

出　　处：《南开大学学报（自然科学版）》2016年第2期88-102,共15页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：Supported by the Applied Economics Base and the research fund of Zhejiang Sci-Tech University(15092100-Y);the National Social Science Fund of China(15CJY009);Tianjin Philosophy and Social Scinces Planning Project(TJYYWT15-014)

摘　　要：基于Ross提出的修复理论,预测了债券市场实际收益率的分布.给出了修复理论的数学理论依据.拓展了修复理论到无界扩散过程上。证实修复理论可以应用于典型的利率模型.进一步地,分析修复理论在多维扩散过程,带跳过程的应用.Based on the recovery theorem of Ross, distribution of the real-world interest rate in bond market is predicted. A mathematical foundation for finite state Markov chain measure change is built. Ross recovery theorem is extended to unbounded diffusions. And the recovery is shown to be possible for some typical interest rate models. Ross recovery is further analyzed for multi-dimensional diffusions and jump diffusions.

关 键 词：Ross修复理论 离散马氏过程 测度变换 状态价格 

分 类 号：F830.9[经济管理—金融学]