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- Intersest rate, term sturcture, Polynomial. The research of interest rate term structure i. 显示目录利率期限结构拟合研究清华大学经济管理学院。
- This study evaluates the interest rate caps with various term structure models, including HJM, BGM, and GK models. 摘要:本文应用不同利率模型评价利率上限契约，所用的利率期间结构模型包括HJM、BGM与GK模型。
- In this paper, we employ the Nelson-Siegel model to fit Taiwan s term structure of interest rates. 以台湾这种特殊的地形及地理位置，水资源的利用与短期气候的预报有著密不可分的关系。
- Empirical results show that the term structure of interest rates can forecast expectedeconomic growth in certain periods. 实证结果表明,利率期限结构在一定的期间内能够对未来的经济增长做出解释和预测。
- It set up a term structure using term subsection to distinguish the current and forward credit risk and to consider offsetting among long and short positions. 采用期限分段方法建立一个期间结构，区分当前和远期信用风险，考虑多头与空头信用风险头寸间的补偿。
- The results also prove that the integration of the linear programming model and polynomial interpolation is suitable to fit the term structure of Shanghai Stock Market in China. 结果表明线性规划利率期限结构模型与多项式插值相结合的方法在拟合我国利率期限结构方面具有一定优势。
- 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. 摘要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。
- With the Kalman filter approach, the empirical research shows the model reconciles the time-series dynamics of yields with the cross-sectional shapes of the term structure. 通过卡尔曼滤波法对模型的实证分析，证实该模型基本上能在时间序列和横截面两个维度上与实际数据相符合。
- They have various problems in such respects as term structure of credit,interest rate leverage,interest rate risk control,business variety and bank personnel quality. 就我国商业银行自身而言,在信贷期限结构、利率杠杆作用、利率风险控制、信贷业务种类、银行人员素质等方面存在各种各样的问题。
- Considering that some bonds in domestic market are inaccurately priced, we proposed a robust spline model to fit the term structure of interest rate in our bonds market. 摘要针对我国国债市场部分债券价格扭曲的情况，提出一种基于抗差估计的样条期限结构模型，来拟合我国国债利率期限结构。
- The short-term riskless rate is one of the most fundamental and important prices determined in financial markets.It is driving the changes in the entire term structure. 短期无风险利率是金融市场上最基本也是最重要的价格决定因素，它驱使着整个期限结构的变动。
- The slope of the yield curve(equivalently, the term structure) tells us what financial markets expect to happen to short-term interest rates in the future. 收益曲线的斜率（等于期间结构），这表明：金融市场在短期利率方面将会发生怎么样的变化。
- Beizer prefers the terms structural and behavioural testing. 贝泽尔较偏向于称其为结构化测试和行为测试。
- Department of Fixed Income Research Co-directors: Gao, Bin and Li, Yan Research Topics: term structure of China's bond market, Liquidity of China's bond market, Interest Rate Risk, etc. 债券研究部由中心研究员高滨和李焰担任联席主任,主要进行中国债券市场,包括利率期限结构、债券市场的流动性、利率风险等方面的研究。
- This paper develops a class of models of the term structure of interest rate, in the Heath, Jarrow, and Morton framework, with dynamics characterized by the evolution of a small set of state variables. 本文在 Heath,Jarrow和 Morton理论框架内提出一个具有以一组状态变量发展为特征的动态化利率期限结构模型群 ;
- Volatility term structures list the relationship between implied volatilities and time to expiration. 一般言之，取样期间愈短，波动率的变动幅度愈大，取样期间愈长，波动率愈稳定。
- Term Structure can not only be used to price fixed-income securities such as the most of treasury bonds,but also to valuate the futures contracts and contingent claims(Brennan and Schwarts,1977). 利用利率期限结构,可以对所有的固定收益证券进行定价,如大多数国债,甚至可以对期货合约进行定价(BrennanandSchwarts,1977)。
- In this section we analyze the characteristics, applying range and the correlation of different models and the duration models under various term structure models such as Vasicek, CIR, HJM and Moreno model, etc. 然后我们对利率风险的持续期度量方法进行了详细分析，分别介绍了Vasicek模型、CIR模型、HJM模型、Moreno随机波动两因素模型下的持续期模型。
- In the short term, the medicine may not be very effective. 从眼前来看，这药可能疗效不是很大。
- By introducing the transition probability parameter, we show that the general dynamic equation for which short interest rate satisfies and set up the discrete term structure model, which extends BDT model. 本文通过引入转移概率参数,证明了短期利率满足的一般动态变化方程,建立了离散形式的利率期限结构模型,讨论求解方法,从而拓展了BDT模型。
