Study on term structure of interest rate theory and model development

被引：0

作者：

Mai, Q ^{[1
]}

Hu, YQ ^{[1
]}

机构：

[1] Harbin Inst Technol, Sch Management, Harbin 150001, Peoples R China

来源：

PROCEEDINGS OF THE 2004 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS 1 AND 2 | 2004年

关键词：

financial market; term structure of interest rate; yield curve; expectation theory; arbitrage model;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article conducts a survey on term structure of interest rate theories and models. The traditional theories can be divided into two kinds according to different systematic factors. And modem theory deems that the movement of interest rate is a stochastic process, so the diffusion equation and martingale theory are very popular in models of term structure. At last, the new advancement based on HJM model is introduced.

引用

页码：2025 / 2029

页数：5

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