Strong consistency of maximum likelihood estimators for a discrete-time random field HJM-type interest rate model

We consider a discrete time Heath–Jarrow–Morton-type forward interest rate model, where the interest rate curves are driven by a geometric spatial autoregression field. Strong consistency of maximum likelihood estimators is proved for stable and unstable no-arbitrage models containing a simple stochastic discounting factor. This research was supported by the Hungarian Scientific Research Fund under Grant No. OTKA–T048544/2005.     

非线性再生散度随机效应模型的渐近性质

对非线性再生散度随机效应模型, 该文给出了类似于Barndroff-Nielson, Cox (1989)和Severin, Wong (1992)的正则条件, 基于这些正则条件和Laplace近似, 证明了该模型参数极大似然估计的存在性、强相合性和渐近正态性.     

债券定价及利率风险的市场价格的重构方法

假设利率变化的模型是由随机微分方程给出,则可以用推导Black-Scholes方程的方法来推出债券价格满足的偏微分方程,得到一个抛物型的偏微分方程.但是,在债券定价的方程中隐含有一个参数λ称为利率风险的市场价格.所谓债券定价的反问题,就是由不同到期时间的债券的现在价格来得到利率风险的市场价格.对随机利率模型下债券定价的正问题先给予介绍和差分数值求解方法,并介绍了反问题,且对反问题给出了数值方法.