{"title":"仿射有理势模型","authors":"THE ANH NGUYEN, FRANK THOMAS SEIFRIED","doi":"10.1142/s021902492150031x","DOIUrl":null,"url":null,"abstract":"We develop a class of rational term structure models in the framework of the potential approach based upon a family of positive supermartingales that are driven by an affine Markov process. These models generally feature nonnegative interest rates and analytic pricing formulae for zero bonds, caps, swaptions, and European currency options, even in the presence of multiple factors. Moreover, in a model specification, the short rate stays near the zero lower bound for an extended period.","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"155 1","pages":""},"PeriodicalIF":0.5000,"publicationDate":"2021-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"THE AFFINE RATIONAL POTENTIAL MODEL\",\"authors\":\"THE ANH NGUYEN, FRANK THOMAS SEIFRIED\",\"doi\":\"10.1142/s021902492150031x\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We develop a class of rational term structure models in the framework of the potential approach based upon a family of positive supermartingales that are driven by an affine Markov process. These models generally feature nonnegative interest rates and analytic pricing formulae for zero bonds, caps, swaptions, and European currency options, even in the presence of multiple factors. Moreover, in a model specification, the short rate stays near the zero lower bound for an extended period.\",\"PeriodicalId\":47022,\"journal\":{\"name\":\"International Journal of Theoretical and Applied Finance\",\"volume\":\"155 1\",\"pages\":\"\"},\"PeriodicalIF\":0.5000,\"publicationDate\":\"2021-09-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Theoretical and Applied Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1142/s021902492150031x\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Theoretical and Applied Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/s021902492150031x","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
We develop a class of rational term structure models in the framework of the potential approach based upon a family of positive supermartingales that are driven by an affine Markov process. These models generally feature nonnegative interest rates and analytic pricing formulae for zero bonds, caps, swaptions, and European currency options, even in the presence of multiple factors. Moreover, in a model specification, the short rate stays near the zero lower bound for an extended period.
期刊介绍：
The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.
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