| 随机期度与利率反向变动关系的初步研究 |
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| 引用本文： | 张玉磊,张曙光.随机期度与利率反向变动关系的初步研究[J].运筹与管理,2005,14(5):117-121. |
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| 作者姓名： | 张玉磊 张曙光 |
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| 作者单位： | 中国科学技术大学,统计与金融系,安徽合肥230026 |
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| 基金项目： | 国家自然科学基金资助项目（10201029） |
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| 摘 要： | 本文介绍了随机利率下相应的期度—随机期度的定义及其性质.对常见的随机利率模型Vasciek 模型和CIR模型,证明了随机期度与随机利率之间存在着反向的变动关系,从而辅证了随机期度定义的合理性.
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| 关 键 词： | 随机期度 利率变动关系 利率的期限结构 CIR模型 Vasciek模型 |
| 文章编号： | 1007-3221(2005)05-0117-05 |
| 收稿时间： | 01 25 2005 12:00AM |
| 修稿时间： | 2005年1月25日 |
On the Relationship between Stochastic Duration and Interest Rate |
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| ZHANG Yu-lei,ZHANG Shu-guang.On the Relationship between Stochastic Duration and Interest Rate[J].Operations Research and Management Science,2005,14(5):117-121. |
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| Authors: | ZHANG Yu-lei ZHANG Shu-guang |
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| Institution: | Dept. of Statistic and Banking, University of Science and Technology of China, Hefei 230026, China |
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| Abstract: | In this paper,the relation between stochastic duration and interest rate is studied.We prove that for some typical interest rate models(Vasciek model and CIR model),there is a reverse change between duration and interest rate.Such a result shows that the stochastic duration is reasonably defined. |
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| Keywords: | stochastic duration relationship with interest rate the term structure of interest rate CIR model Vasciek model |
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