| 基于利率的期限结构模型的债券价格过程的分形性质(英文) |
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| 引用本文： | 余东,张娜. 基于利率的期限结构模型的债券价格过程的分形性质(英文)[J]. 应用数学, 2010, 23(4) |
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| 作者姓名： | 余东 张娜 |
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| 作者单位： | 武汉科技大学冶金工业过程系统科学湖北省重点实验室,湖北武汉,430081 |
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| 摘 要： | 本文研究了由文[4]( KENNEDY D P.The term structure of interest rates as a Gaussian randomfield[J] .Mathematical Finance ,1994 ,4(3) :247-258 .)提出的利率期限结构模型下的债券价格过程,并获得了债券价格曲线是一条Hausdorff维数为3/2的分形曲线.
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| 关 键 词： | 债券价格过程 分形性质 期限结构模型 |
Fractal Property of the Bond-price Process in Term Structure Models for Interest Rates |
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| YU Dong,ZHANG Na. Fractal Property of the Bond-price Process in Term Structure Models for Interest Rates[J]. Mathematica Applicata, 2010, 23(4) |
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| Authors: | YU Dong ZHANG Na |
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| Abstract: | In this paper,we study the bond-price process in the term structure model of interest rates proposed by Ref.[4](KENNEDY D P.The term structure of interest rates as a Gaussian ran dom field[J].Mathematical Finance,1994,4(3):247-258)and obtain that the bond-price curve is a fractal with Hausdorff dimension 3/2. |
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| Keywords: | Fractal property Bond-price process Term structure models |
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