搜索结果: 1-2 共查到“财政学 modelling”相关记录2条 . 查询时间(0.142 秒)
Levy Random Bridges and the Modelling of Financial Information
Levy Random Bridges Modelling of Financial Information
2010/11/3
The information-based asset-pricing framework of Brody, Hughston and Mac-rina (BHM) is extended to include a wider class of models for market information.In the BHM framework, each asset is associated...
Continuous time Ehrenfest process in term structure modelling
ehrenfest model interest rate derivatives short-rate term structure vasicek model zero-couponbond
2010/4/27
In this paper, a finite-state mean-reverting model for the short-rate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be der...