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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。
- 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。
- HJM interest rate term structure HJM利率期限结构
- Empirical Comparison of Several Interest Rate Term Structure Models 国债利率期限结构模型的实证比较
- Empirical Testing on Nonparametric Model of Interest Rate Term Structure 非参数利率期限结构模型的实证检验
- Positive Research on Single-Factor Model of Interest Rate Term Structure 单因子利率期限结构模型的实证研究
- An Empirical Research on Bond Investment Strategy Based on Interest Rate Term Structure Change 基于预测利率期限结构变动的债券投资策略实证研究
- Estimation and Positive Research on Dynamic Model of Interest Rate Term Structure 动态利率期限模型的估计和实证研究
- Research of Predictive Power of Interest Rate Term Structure of Chinese Government Bond Repo Market 国债回购市场利率期限结构的预测能力研究
- interest rate term structure 利率期限结构
- 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。
- 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。
- 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。
- 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。
- 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 ;
- 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。
- Furthermore, this study provides some numerical examples and simulation results for the practice to issuing exotic interest rate options and choosing an adequate pricing term structure model. 此外，在实务上，本文提供的数值例子与模拟的结果，可以做为未来发行新奇利率选择权，或选择适当利率评价模型的参考。
- 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。
- 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。
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