陈模型：修订间差异
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在陈模型中，瞬時利率的演变是由以下隨機微分方程决定的： |
在陈琳模型中，瞬時利率的演变是由以下隨機微分方程决定的： |
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:<math> dr_t = (\theta_t-\alpha_t)\,dt + \sqrt{r_t}\,\sigma_t\, dW_t,</math> |
:<math> dr_t = (\theta_t-\alpha_t)\,dt + \sqrt{r_t}\,\sigma_t\, dW_t,</math> |
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:<math> d \sigma_t = (\beta_t-\sigma_t)\,dt + \sqrt{\sigma_t}\,\eta_t\, dW_t.</math> |
:<math> d \sigma_t = (\beta_t-\sigma_t)\,dt + \sqrt{\sigma_t}\,\eta_t\, dW_t.</math> |
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| ⚫ | 陳琳模型被全球金融機構广泛采用， 它不但具有实际意义， 同时也具有重要的学术价值。在一份權威的現代金融学文献述评中（“金融学的連續時間方法：回顧與評價” <ref>{{cite journal | url=https://www0.gsb.columbia.edu/faculty/ssundaresan/papers/Sundaresan_JF_Continuos_time_review.pdf | title=Continuous-Time Methods in Finance: A Review and an Assessment | author=Suresh M. Sundaresan | journal=The Journal of Finance | date=August 2000 | volume=LV | issue=4 | access-date=2022-11-16 | archive-date=2021-10-20 | archive-url=https://web.archive.org/web/20211020093446/https://www0.gsb.columbia.edu/faculty/ssundaresan/papers/Sundaresan_JF_Continuos_time_review.pdf | dead-url=no }}</ref>），陳琳模型被列為利率期限結構的主要模型。美国学者[[詹姆斯和韋伯]]的教科书有几节專門討論陳琳模型。瑞士学者[[吉布森]]等人的利率理论综述也有專門一節介绍陳琳模型。丹麦学者[[安德森]]等人的文章专门致力于研究、评估和推廣陳琳模型。美国学者伽伦等人的文章測試和验证了陳琳模型和其他利率模型。 美国博士生蔡在她的博士論文研究中测试陳琳模型和其他競爭模型。 |
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==相关条目== |
==相关条目== |
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*[[数理金融学]] |
*[[数理金融学]] |
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*[[金融计量经济学]] |
*[[金融计量经济学]] |
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*[[金融數學]] |
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*{{le|瓦西塞克模型|Vasicek model}} |
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==参看== |
==参看== |
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{{reflist}} |
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*{{cite journal| author = Lin Chen |year= 1996 | title= Stochastic Mean and Stochastic Volatility — A Three-Factor Model of the Term Structure of Interest Rates and Its Application to the Pricing of Interest Rate Derivatives | journal=Financial Markets, Institutions, and Instruments |volume=5|pages=1–88}} |
*{{cite journal| author = Lin Chen |year= 1996 | title= Stochastic Mean and Stochastic Volatility — A Three-Factor Model of the Term Structure of Interest Rates and Its Application to the Pricing of Interest Rate Derivatives | journal=Financial Markets, Institutions, and Instruments |volume=5|pages=1–88}} |
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* {{cite book | author = Lin Chen | year = 1996 | title = Interest Rate Dynamics, Derivatives Pricing, and Risk Management | series=Lecture Notes in Economics and Mathematical Systems, 435|publisher = Springer| isbn=978-3540608141 }} |
* {{cite book | author = Lin Chen | year = 1996 | title = Interest Rate Dynamics, Derivatives Pricing, and Risk Management | url = https://archive.org/details/interestratedyna0000chen | series=Lecture Notes in Economics and Mathematical Systems, 435|publisher = Springer| isbn=978-3540608141 }} |
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* {{cite book | author = Jessica James and Nick Webber | year = 2000 | title = Interest Rate Modelling |
* {{cite book | author = Jessica James and Nick Webber | year = 2000 | title = Interest Rate Modelling |
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| publisher = Wiley Finance }} |
| publisher = Wiley Finance }} |
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title=The Handbook of European Fixed Income Securities |publisher=Wiley Finance}} |
title=The Handbook of European Fixed Income Securities |publisher=Wiley Finance}} |
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*{{cite book |author= Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva |year= 2007 |title=Dynamic Term Structure Modeling: The Fixed Income Valuation Course |publisher=Wiley Finance}} |
*{{cite book |author= Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva |year= 2007 |title=Dynamic Term Structure Modeling: The Fixed Income Valuation Course |publisher=Wiley Finance}} |
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*{{cite journal|doi=10.1111/0022-1082.00261|title=Continuous-Time Methods in Finance: A Review and an Assessment|author=Sundaresan, Suresh M.| journal=The Journal of Finance| volume=55 |number=4| year=2000| pages=1569–1622 |
*{{cite journal|doi=10.1111/0022-1082.00261|title=Continuous-Time Methods in Finance: A Review and an Assessment|url=https://archive.org/details/sim_journal-of-finance_2000-08_55_4/page/1569|author=Sundaresan, Suresh M.| journal=The Journal of Finance| volume=55 |number=4| year=2000| pages=1569–1622}} |
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*{{cite book|author= Andersen, T.G., L. Benzoni, and J. Lund |year=2004 |title=Stochastic Volatility, Mean Drift, and Jumps in the Short-Term Interest Rate, |publisher=Working Paper, Northwestern University}} |
*{{cite book|author= Andersen, T.G., L. Benzoni, and J. Lund |year=2004 |title=Stochastic Volatility, Mean Drift, and Jumps in the Short-Term Interest Rate, |publisher=Working Paper, Northwestern University}} |
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*{{cite book|author= Gallant, A.R., and G. Tauchen |year=1997, |title=Estimation of Continuous Time Models for Stock Returns and Interest Rates, |publisher=Macroeconomic Dynamics 1, 135-168.}} |
*{{cite book|author= Gallant, A.R., and G. Tauchen |year=1997, |title=Estimation of Continuous Time Models for Stock Returns and Interest Rates, |publisher=Macroeconomic Dynamics 1, 135-168.}} |
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*{{cite book |
*{{cite book|author= Cai, L.|year= 2008|title= Specification Testing for Multifactor Diffusion Processes:An Empirical and Methodological Analysis of Model Stability Across Different Historical Episodes|publisher= Rutgers University|url= http://econweb.rutgers.edu/lcai/lili_files/JobMarketPaper.pdf}}{{dead link|date=2018年1月 |bot=InternetArchiveBot |fix-attempted=yes }} |
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Stability Across Different Historical Episodes| publisher= |
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Rutgers University | url = http://econweb.rutgers.edu/lcai/lili_files/JobMarketPaper.pdf |
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[[en:Chen model]] |
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{{Stochastic processes}} |
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[[Category:金融理论]] |
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{{uncategorized|time=2010-04-06T00:51:18+00:00}} |
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[[Category:金融数学]] |
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[[Category:金融工程学]] |
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2024年9月8日 (日) 19:58的最新版本
在金融学领域，陳琳模型（Chen model）是一個數學模型，描述利率的动态演變过程。它是一種“三因素模型”（短期利率模型），因為它所描述的利率變動是由三种市場風險推動的。陈琳模型是第一个隨機均值和隨機波動率的利率模型，由经济学家陈琳发表于1994年。陈琳是哈佛大學毕业的經濟學家，曾為美國哈佛大學，新加坡大學，貝魯特美國大學，韩国延世大學，瑞士金融学院，美林证券，里昂信貸銀行和美国聯邦儲備局工作。
在陈琳模型中，瞬時利率的演变是由以下隨機微分方程决定的：
陳琳模型被全球金融機構广泛采用， 它不但具有实际意义， 同时也具有重要的学术价值。在一份權威的現代金融学文献述评中（“金融学的連續時間方法：回顧與評價” [1]），陳琳模型被列為利率期限結構的主要模型。美国学者詹姆斯和韋伯的教科书有几节專門討論陳琳模型。瑞士学者吉布森等人的利率理论综述也有專門一節介绍陳琳模型。丹麦学者安德森等人的文章专门致力于研究、评估和推廣陳琳模型。美国学者伽伦等人的文章測試和验证了陳琳模型和其他利率模型。 美国博士生蔡在她的博士論文研究中测试陳琳模型和其他競爭模型。
相关条目
[编辑]参看
[编辑]- ^ Suresh M. Sundaresan. Continuous-Time Methods in Finance: A Review and an Assessment (PDF). The Journal of Finance. August 2000, LV (4) [2022-11-16]. （原始内容存档 (PDF)于2021-10-20）.
- Lin Chen. Stochastic Mean and Stochastic Volatility — A Three-Factor Model of the Term Structure of Interest Rates and Its Application to the Pricing of Interest Rate Derivatives. Financial Markets, Institutions, and Instruments. 1996, 5: 1–88.
- Lin Chen. Interest Rate Dynamics, Derivatives Pricing, and Risk Management. Lecture Notes in Economics and Mathematical Systems, 435. Springer. 1996. ISBN 978-3540608141.
- Jessica James and Nick Webber. Interest Rate Modelling. Wiley Finance. 2000.
- Rajna Gibson,François-Serge Lhabitant and Denis Talay. Modeling the Term Structure of Interest Rates: A Review of the Literature. RiskLab, ETH. 2001.
- Frank J. Fabozzi and Moorad Choudhry. The Handbook of European Fixed Income Securities. Wiley Finance. 2007.
- Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva. Dynamic Term Structure Modeling: The Fixed Income Valuation Course. Wiley Finance. 2007.
- Sundaresan, Suresh M. Continuous-Time Methods in Finance: A Review and an Assessment. The Journal of Finance. 2000, 55 (4): 1569–1622. doi:10.1111/0022-1082.00261.
- Andersen, T.G., L. Benzoni, and J. Lund. Stochastic Volatility, Mean Drift, and Jumps in the Short-Term Interest Rate,. Working Paper, Northwestern University. 2004.
- Gallant, A.R., and G. Tauchen. Estimation of Continuous Time Models for Stock Returns and Interest Rates,. Macroeconomic Dynamics 1, 135-168. 1997,.
- Cai, L. Specification Testing for Multifactor Diffusion Processes:An Empirical and Methodological Analysis of Model Stability Across Different Historical Episodes (PDF). Rutgers University. 2008.[永久失效連結]
