这类似于经典的布莱克-斯科尔斯-默顿期权定价模型（Black-Scholes-Mertonoption model）对价格变动进行的简化，因为我们可以“认为”市场投资者是风险中性的，从而对债券定价。为了使讨论更加具体，我们给出一个两阶段的Ho-Lee模型。假设当前的短期利率是4%。时间步长是一个月，漂移项通过市场价格确定，第一个月θ1 = ...
B. Lee, "Generalized Ho-Lee model: A multi-factor state-time dependent implied volatility function approach," The Journal of Fixed Income, 17(3), 18-37, 2007.Ho, T.S.Y., Lee, S.B., 2007 "Generalized Ho-Lee Model: A Multi-Factor State-Time Dependent Implied Volatility Function ...
假设无风险利率是服从Ho-Lee利率模型的随机过程,本文研究负债情形下组合投资的最优投资策略.我们考虑金融市场存在两种风险资产:一种股票和一种零息票债券,其中股票和零息票债券由于受到利率波动的影响而服从扩展的几何布朗运动,而负债服从扩展的带漂移的布朗运动,且和利率与股票价格存在相关性.文章应用最大值原理得到效...
interestratederivativesN/Aarbitrage-freeinterestratemodelinterestratenormalarbitrage-freemoneymarketmeasurem=1arbitrage-freeinterestratemodel,time-varyingvolatility,meanreversionprop http://www.federalreserve.gov/7.BondArithmetic,8.BondModel,20.Ho-LeeModel,21.ExtendedHo-Lee 012340.0600.0600.0600.0600.0601....
The generalized Ho-Lee model is an arbitrage-free binomial-lattice interest-rate model. Using the generalized Ho-Lee model as a term structure model of interest rates, we propose an evaluation method of the arbitrage-free price for the game swaptions via a stochastic game formulation, and ...
第一个模型,Term structure model with no drift,也就是,没有趋势的利率波动模型,笔者不知道这里是错误的省略了dt后面的单位正态分布函数,还是故意就是这样的,反正笔者是加上去了,以后如果觉得应该是没有的,那么再来修正吧。 第二个模型就是带趋势的了,但是趋势是恒定的,如果趋势是不恒定的,那么就是Ho-Lee模型...
Ho-Lee利率模型下资产-负债管理的最优投资策略 常浩;荣喜民 【摘要】Under the assumption that the risk-free interest rate dynamics follows the Ho-Lee interest rate model, we investigate the optimal investment strategy for portfolio selection with liability. The financial market is composed of two risky...
Name: 이호정 / Lee Ho Jung Profession: Actress and model Birthdate: 1997-Jan-20 (age 26) Birthplace: South Korea Height: 170cm Star sign: Aquarius Talent agency: YG EntertainmentTV ShowsSong of the Bandits (Netflix, 2023) Moving (Disney+, 2023) Jinxed at First (KBS2, 2022) ...
看了好多以前的视频,发现皓京不仅有剧中尹率的温柔帅气,私下里还是超级可爱俏皮的女孩子!!! 我太喜欢看她随着音乐的节奏各种跳动,我现在怀疑韩国女模特人均会跳舞哈哈哈哈哈哈哈哈哈。 微博@Tigger-上官(已经得到老师同意啦!) 持续收录 LeeHoJung李皓京 INS | 推
Lion King (三月 13, 2007) Season 1, Episode 1 - Model #2 (credit only) 2 Saints & Sinners (2007– ) (TV Series) - Assistant to Dr. Lee (1 episode) Morning Sickness Season 1, Episode 47 - Assistant to Dr. Lee 1 Desire (2006) (TV Series) - Makeup Artist (1 episod...