| GENERALIZED STOCHASTIC DURATION INMARKOVIAN HEATH-JARROW-MORTONFRAMEWORK |
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| 引用本文： | 简志宏,李楚霖. GENERALIZED STOCHASTIC DURATION INMARKOVIAN HEATH-JARROW-MORTONFRAMEWORK[J]. 数学物理学报(B辑英文版), 2002, 22(1): 99-106. DOI: 10.1016/S0252-9602(17)30459-9 |
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| 作者姓名： | 简志宏 李楚霖 |
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| 作者单位： | Department of Mathematics. Huazhong University of Science and Technology. Wuhan 430074. China |
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| 摘 要： | 1 IntroductionIll moderll financial industry, risk managen1ent is a major task tliat fiuancial institutionsnlust deal witli in every tradiug day alld it is becouilng urore and more important for mailltaining tl1eir access to clieap capital and meeting risk-based caPital requirements. Meanwhile,sonle fiuaucial iustitutions (FI) sucl1 as co1nuercial ba1lks, iusurallce companies and securitiescolllpanies. etc., hold a large proportioll of fixed income security which price is sensitive totlle mar…
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| 收稿时间： | 2000-10-18 |
GENERALIZED STOCHASTIC DURATION IN MARKOVIAN HEATH-JARROW-MORTON FRAMEWORK |
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| Jian Zhihong,Li Chulin. GENERALIZED STOCHASTIC DURATION IN MARKOVIAN HEATH-JARROW-MORTON FRAMEWORK[J]. Acta Mathematica Scientia, 2002, 22(1): 99-106. DOI: 10.1016/S0252-9602(17)30459-9 |
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| Authors: | Jian Zhihong Li Chulin |
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| Affiliation: | Department of Mathematics. Huazhong University of Science and Technology. Wuhan 430074. China |
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| Abstract: | This paper focuses on how to measure the interest rate risk. The conventional measure methods of interest rate risk are reviewed and the duration concept is generalized to stochastic duration in the Markovian HJM framework. The generalized stochastic duration of the coupon bond is defined as the time to maturity of a zero coupon bond having the same instantaneous variance as the coupon bond. According to this definition, the authors first present the framework of Markovian HJM model, then deduce the measures of stochastic duration in some special cases which cover some extant interest term structure. |
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| Keywords: | Generalized stochastic duration. interest rate term structure. HJM Model |
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