折现模型

IF 1.1 2区经济学 Q3 BUSINESS, FINANCE Finance and Stochastics Pub Date : 2023-09-28 DOI:10.1007/s00780-023-00514-0

Damir Filipović

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引用次数: 0

摘要

贴现是债券的面值与其现值之间的差额。我们为贴现模型提出了一个无套利的动态框架，它为远期汇率提供了一个替代Heath-Jarrow-Morton框架。我们推导了因子模型的一般一致性条件，并特别讨论了仿射期限结构模型。有几个悬而未决的问题，我们概述了进一步研究的可能方向。

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Discount models

Abstract Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath–Jarrow–Morton framework for forward rates. We derive general consistency conditions for factor models, and discuss affine term structure models in particular. There are several open problems, and we outline possible directions for further research.

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来源期刊

Finance and Stochastics 管理科学-数学跨学科应用

CiteScore

2.90

自引率

5.90%

发文量

审稿时长

>12 weeks

期刊介绍： The purpose of Finance and Stochastics is to provide a high standard publication forum for research - in all areas of finance based on stochastic methods - on specific topics in mathematics (in particular probability theory, statistics and stochastic analysis) motivated by the analysis of problems in finance. Finance and Stochastics encompasses - but is not limited to - the following fields: - theory and analysis of financial markets - continuous time finance - derivatives research - insurance in relation to finance - portfolio selection - credit and market risks - term structure models - statistical and empirical financial studies based on advanced stochastic methods - numerical and stochastic solution techniques for problems in finance - intertemporal economics, uncertainty and information in relation to finance.

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