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 = ...
Descriptions financial model class 1 factor interest rate model issuer/modeler N/A model type relative valuation model risk sources interest rate risk distribution normal economic assumptions arbitrage-free money market measure technical assumptions m=1 key words arbitrage-free interest rate model, time-...
path dependentVasicek and Ho-Lee model在普遍架構之下的HJM模型,債券價格與點利率都是非馬可夫性的.因此,此類型的模式有路徑相關的特性而需要保持追蹤歷史的資訊... 莊益源(I-Yuan Chuang) - 《中國財務學刊》 被引量: 1发表: 2000年 加载更多来源...
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 ...
22.n-FactorHo-LeeModel1127 n-FactorHo-LeeModelreferencenumberVersionpublicationdateauthoraffiliationemailaddresslastreviseddatereferencesDescriptionsfinancialmodelclassissuer/modelermodeltyperisksourcesriskdistributioneconomicassumptionstechnicalassumptionskeywordsLinksdatafinancialmodelsInputsyearinitialyieldcurveinitialdiscount...
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...
In what follows we quote the Hull-White 1 factor and Ho-Lee model dynamics and their corresponding Eurodollar convexity adjustment formulas. We then show that, in the special case where the Hull-White mean reversion parameter is zero, the adjustment under the Hull-White and Ho-Lee models is...
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 ...
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...
3) Ho-Lee stochastic interest rate model Ho-Lee随机利率模型 4) Lee's model Lee模型 5) Lee-Carter model Lee-Carter模型 1. For some of mortality data of Chinese urban population is missed,Lee-Carter modelwith the number of deaths having Poisson distribution is applied to project the mortality...