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
收藏
页码：2025 / 2029
页数：5
相关论文
共 50 条
  • [31] The great moderation of the term structure of UK interest rates
    Bianchi, Francesco
    Mumtaz, Haroon
    Surico, Paolo
    JOURNAL OF MONETARY ECONOMICS, 2009, 56 (06) : 856 - 871
  • [32] A simple multi-factor, time-dependent-parameter model for the term structure of interest rates
    Chen R.-R.
    Yang T.L.T.
    Review of Quantitative Finance and Accounting, 2002, 19 (1) : 5 - 20
  • [33] ESTIMATION OF THE TERM STRUCTURE OF THE INTEREST RATE USING FUZZY REGRESSION METHODOLOGY. THE CASE OF THE ARGENTINE MARKET OF PUBLIC BONDS
    Terceno Gomez, Antonio
    Belen Guercio, Maria
    Barbera Marine, M. Gloria
    CUADERNOS DEL CIMBAGE, 2007, 9 : 59 - 82
  • [34] Efficient method of moments estimation for jump-stochastic volatility, stochastic mean drift term structure of interest rate
    Zhou Li
    PROCEEDINGS OF THE 2007 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING, FINANCE ANALYSIS SECTION, 2007, : 185 - 190
  • [35] Using a long-term interest rate as the monetary policy instrument
    McGough, B
    Rudebusch, GD
    Williams, JC
    JOURNAL OF MONETARY ECONOMICS, 2005, 52 (05) : 855 - 879
  • [36] The zero lower bound and movements in the term structure of interest rates
    Grisse, Christian
    ECONOMICS LETTERS, 2015, 131 : 66 - 69
  • [37] Estimating the term structure of interest rates using penalized splines
    Krivobokova, T
    Kauermann, G
    Archontakis, T
    STATISTICAL PAPERS, 2006, 47 (03) : 443 - 459
  • [38] Estimating the term structure of interest rates using penalized splines
    Tatyana Krivobokova
    Göran Kauermann
    Theofanis Archontakis
    Statistical Papers, 2006, 47 : 443 - 459
  • [39] The impact of oil price shocks on the term structure of interest rates
    Ioannidis, Christos
    Ka, Kook
    ENERGY ECONOMICS, 2018, 72 : 601 - 620
  • [40] Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates
    Ajello, Andrea
    Benzoni, Luca
    Chyruk, Olena
    REVIEW OF FINANCIAL STUDIES, 2020, 33 (08) : 3719 - 3765
12345