A SURVEY OF STOCHASTIC CONTINUOUS-TIME MODELS OF THE TERM STRUCTURE OF INTEREST-RATES

被引：8

作者：

VETZAL, KR

机构：

[1] School of Accountancy, University of Waterloo, Waterloo

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1994年 / 14卷 / 02期

关键词：

TERM STRUCTURE OF INTEREST RATES; CONTINGENT CLAIMS; ARBITRAGE MODELS; BONG PRICING; CONTINUOUS TIME ASSET PRICING;

D O I：

10.1016/0167-6687(94)00009-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper provides a detailed survey of the financial economics literature pertaining to the term structure of interest rates. The analysis concentrates exclusively on the application of modern contingent claims pricing methods, with particular emphasis on the term structure as a subset of general asset pricing theory, recent models for interest rate contingent claims which are designed to replicate any current term structure, and empirical evidence.

引用

页码：139 / 161

页数：23

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[1] INTEREST-RATES AND INFLATION - A CONTINUOUS-TIME STOCHASTIC APPROACH
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[10] STRUCTURAL MODELS OF THE DEMAND FOR BONDS AND THE TERM STRUCTURE OF INTEREST-RATES
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