Uncertain term structure model of interest rate

被引：146

作者：

Chen, Xiaowei ^{[1
]}

Gao, Jinwu ^{[2
]}

机构：

[1] Nankai Univ, Dept Risk Management & Insurance, Tianjin 300071, Peoples R China

[2] Renmin Univ China, Sch Informat, Uncertain Syst Lab, Beijing 100872, Peoples R China

来源：

SOFT COMPUTING | 2013年 / 17卷 / 04期

基金：

中国国家自然科学基金;

关键词：

Uncertainty theory; Finance; Interest rate; Term structure; OPTIONS;

D O I：

10.1007/s00500-012-0927-0

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

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 study 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.

引用

页码：597 / 604

页数：8

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