陈模型：修订间差异
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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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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]
