内容发布更新时间 : 2024/5/20 17:33:38星期一 下面是文章的全部内容请认真阅读。

到此为止，我们已经介绍了短期利率模型的单因素和多因素模型、HJM模型、Flesaker-Hughston模型，以及利率衍生物定价的一些模型。虽然只是涉及到一些基本理论框架和重要结论，但是这个理论从产生到发展直至今天，已经得到了广泛的应用。

参考文献

[1] Black, F. and M. Scholes(1973), The pricing of options and corporate liabilities, J. of Political Economy 81,635-654.

[2] Brennan, M. J. and Pliska, S. (1991),On the fundamental theorem of asset pricing with an infinite state space, J. Math. Econ.,20,1-18.

[3] Chen, L.(1996),Interest Rate Dynamics, Derivatives Pricing, and Risk Management, LN in Econom. and Math. Systems 435,Springer.

[4] Cox, J.C. and M. Rubinstein(1985), Options Markets, Prentics-Hall.

[5] Duffie, D.(1996), Dynamic Asset Pricing Theory, 2nd ed., Princeton Univ. Press.

[6] Dybvig, P.H., J. E. Ingersoll and S. A. Ross(1996), Long forward and zero-coupon rates can never fall, J. Business 69,1-25

[7] Flesaker, B. and L. Hughston(1996), Positive interest, Risk Magazine,9(1),46-49.

[8] Heath, D., A. Jarrow and A. Morton(1987),Bond pricing and the term structure of interest rates, preprint.

[9] Heath, D., A. Jarrow and A. Morton(1992),Bond pricing and the term structure of the interest rates; A new methodology,Econometrica,Vol.60,(1),77-105.

[10] Ho, T. S. and S. B. Lee(1986),Term structure movements and pricing interest rate contingent claims, J. Finance 41,1011-1029.

[11] Hull, J. and A. White(1990),Pricing interest-rate-derivatives securities, Review of Financial Studies,3,573-592.

[12] Rogers, L.C.G.(1995),Which model for the term-structure of interest rates should one use? In: Mathematical Finance (ed. M.H.A. Davis et al.),IMA Volume 65,Springer-Verlag,93-116.

[13] Rogers, L.C.G. (1997),The potential approach to the term structure of interest rates and foreign exchange rates, Math. Finance,V01.7,No.2,157-176.

[14] Rutkowski, M.(1997),A note on the Fleasker-Hughston model of the term structure of interest rates, Appl. Math. Finance,4,151-163.

[15]Vasicek, O.A.(1997),An equilibrium characterization of the term structure, . Fin. Econ. 5,177-188.

Term Structure Models for Interest Rates

Abstract: The object of this paper is to introduce the main ideas and fundamental results on martingale methods in option pricing, by a short and comprehensive presentation, although the PDE approach is also occasionally touched. It is aimed primarily at those people who are non-experts in, but willing to learn, the option pricing theory.

Keywords: option price, martingale measure, maturity, hedging, contingent claim.

- 11 -