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利率期限结构模型
id: 2401
Date: 20190131
Times:
Magazines
2018.4, 1-12.
Author
Oldrich A. Vasicek, 牛霖琳
Content
利率是时间和期限的函数。作为时间的函数，利率表现为随机过程。利率作为期限的函数，在某一个时点，不同期限的利率在一起组成利率期限结构，也叫做收益率曲线 (yield curve)。利率期限结构模型将不同期限的利率随时间的变动用一个联合的随机过程刻画。本文对现代利率期限结构模型的理论和经典模型进行了一个综述和讨论。
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