Uncertain Term Structure Model of Interest Rate

摘要：

　　Term structure models describe the evolution of the yield curve through time,without considering the influence of risk,tax,etc.Recently,uncertain processes were initialized and applied to option pricing and currency model.Under the assumption of short interest rate following uncertain processes,this paper investigates the term-structure equation.This equation is first derived for valuing zero-coupon bond.Finally,analytic solutions of the uncertain interest rate equation are given when the process of interest rate is assumed to be the uncertain counterparts of the Ho-Lee model and Vasicek model,respectively.

关键词： Uncertainty theory finance interest rate term structure

作者: Xiaowei Chen Jinwu Gao

作者单位: Department of Risk Management and Insurance,Nankai University Tianjin 300071,China School of Information,Renmin University of China,Beijing 100872,China

会议类型: 国内会议

会议名称: 第六届中国智能计算大会

会议地点: 开封

会议语种:英文

页码: 55-64

在线出版日期: 2012-05-25（万方平台首次上网日期，不代表论文的发表时间）