建立描述中国金融市场国债回购利率行为的随机波动利率期限结构模型。
It builds up a stochastic volatility interest rate term structure model to describe the behavior of financial market repo rate of national debt in China.
然后分别用持有成本模型和利率期限结构模型推导出了利率期货的定价公式。
Then, the pricing formula of interest rate futures will be deduced by analyzing both cost of carry models and interest rate term structure models.
在CKLS模型的基础上，我们提出了一个加入跳跃过程的单因子利率期限结构模型。
Based on CKLS, we develop a new one-factor term structure of interest rates, which allows for jumps in interest rates.
应用推荐