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| 平移利率模型与简单Gaussian利率模型之关系（英文） | |
| 引用本文： | 刘建华. 平移利率模型与简单Gaussian利率模型之关系（英文）[J]. 经济数学, 1998, 0(Z1) |
| 作者姓名： | 刘建华 |
| 作者单位： | 湖南财经学院保险系!长沙，410079 |
| 摘 要： | 本文指出平移利率模型的风险市价是到期时间的线形函数并证明了平移利率模型是一种特殊的简单Gaussian利率模型．同时，文章还给出了简单Gaussian利率模型即期利率的条件概率分布． |
| 关 键 词： | 平移利率模型 简单Gaussian利率模型 风险市价 |
RELATIONSHIP BETWEEN PARALLEL SHIFT INTEREST RATE MODEL AND SIMPLE GAUSSIAN MODEL |
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| Liu Jianhua. RELATIONSHIP BETWEEN PARALLEL SHIFT INTEREST RATE MODEL AND SIMPLE GAUSSIAN MODEL[J]. Mathematics in Economics, 1998, 0(Z1) | |
| Authors: | Liu Jianhua |
| Abstract: | In this paper it is shown that the market price of risk of parallel shift interest rate model (PSIM)is a linear function of time to maturity and PSIM is a special kind of Simple Gaussian Model (SGIM),at the mean time the conditional distribution of spot rate of SGIM is given out in this paper. |
| Keywords: | Parallel shift interest rate model Simple Guassian interest model The market price of risk |
| 本文献已被 CNKI 等数据库收录！ | |