| 收益率曲线的提取及在Gaussian HJM模型参数估计中的应用 |
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| 引用本文： | 王科峰,钱晓惠.收益率曲线的提取及在Gaussian HJM模型参数估计中的应用[J].科技信息,2009(5):12-13. |
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| 作者姓名： | 王科峰 钱晓惠 |
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| 作者单位： | 河南理工大学数学与信息科学学院;中原工学院理学院数学系; |
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| 基金项目： | 河南理工大学校内青年基金,项目编号: 646223 |
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| 摘 要： | 本文对一类远期利率模型：二因子Gaussian HJM模型进行了研究。在进行模型的参数估计的时候，首先通过N-S方法以及息票剥离方法获得多期连续的收益率曲线，并说明了如何通过主成分分析和最小二乘法的方法对市场风险价格为常数的Gaussian HJM模型的波动率和风险市场价格进行估计。
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| 关 键 词： | 息票剥离方法 利率期限结构 Gaussian HJM模型 主成分分析 |
The Extracting of Yield Curves and Its Applicationin in the Parameter Estimation of Gaussian HJM Model |
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| WANG Ke-feng QIAN Xiao-hui.The Extracting of Yield Curves and Its Applicationin in the Parameter Estimation of Gaussian HJM Model[J].Science,2009(5):12-13. |
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| Authors: | WANG Ke-feng QIAN Xiao-hui |
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| Institution: | 1.School of applied mathematics and informatics of Henan Polytechnic University;Henan Jiaozuo;454000;2.Mathematics School of Zhongyuan University of Technology;Henan Zhengzhou; |
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| Abstract: | In this paper,a kind of forward rate model-two factor Gaussian HJM Model is researched.We take the use of the method of bootstrap method to get muti-period and continuous yield curves.And then by the use of te methods of principal component analysis and least square ,we get the structure of volatility and market price of risk in the Gaussian HJM Model with constant market price of risk. |
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| Keywords: | Bootstrap method Interest rate term structure Gaussian HJM model Principal component analysis |
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