...关键词】: 随机利率模型 B-S模型 利率风险的市场价格 差分法 积分方程 [gap=768]Keywords】: stochastic interest rate model,B-S model,market price of the interest rate risk,difference method,integral equ..
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After that, the paper introduces two kinds of credit risk pricing models which adopt stochastic interest rate and credit risk: structural model and reduced-form model.
在此基础上，探讨了将随机利率与信用风险相结合的信用风险定价模型——结构模型和简约模型。
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.
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。
This paper presents a no-arbitrage model of closed-form approximation for valuing basket options under a stochastic interest rate economy.
本文推导出在随机利率经济体系下，无套利条件之组合型选择权的近似封闭解。
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