| 双因子SV利率波动模型的Bayes估计 |
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| 引用本文： | 孙明娟,乔克林,孔春香.双因子SV利率波动模型的Bayes估计[J].江西科学,2009,27(3):345-347. |
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| 作者姓名： | 孙明娟 乔克林 孔春香 |
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| 作者单位： | 延安大学数学与计算机科学学院,陕西,延安,716000 |
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| 摘 要： | 运用多元SV模型描述利率的波动性建立双因子SV利率波动模型，运用Bayes估计方法对模型进行参数估计，对短期利率的预测发现SV模型能很好地描述利率的波动性，且运用Bayes方法能得到较好的结果。
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| 关 键 词： | 利率模型 多元SV模型 Bayes方法 |
The Application of Bayes Estimation on Two-factor Interest Rate Volatility Model |
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| SUN Ming-juan,QIAO Ke-lin,KONG Chun-xiang.The Application of Bayes Estimation on Two-factor Interest Rate Volatility Model[J].Jiangxi Science,2009,27(3):345-347. |
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| Authors: | SUN Ming-juan QIAO Ke-lin KONG Chun-xiang |
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| Institution: | School of Mathematics;Yan'an University;Shanxi Yan'an 716000 PRC |
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| Abstract: | Build two-factor interest rate model by introducing SV model into two-factor Vasicek model,estimate the parameters of the models and find SV model behaves good and the results are better than when use Bayes estimation than when use the maximum likelihood estimation. |
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| Keywords: | Interest rate model SV model Bayes estimation |
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