英文标题：
《Long-Term Factorization of Affine Pricing Kernels》
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作者：
Likuan Qin and Vadim Linetsky
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最新提交年份：
2017
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英文摘要：
This paper constructs and studies the long-term factorization of affine pricing kernels into discounting at the rate of return on the long bond and the martingale component that accomplishes the change of probability measure to the long forward measure. The principal eigenfunction of the affine pricing kernel germane to the long-term factorization is an exponential-affine function of the state vector with the coefficient vector identified with the fixed point of the Riccati ODE. The long bond volatility and the volatility of the martingale component are explicitly identified in terms of this fixed point. A range of examples from the asset pricing literature is provided to illustrate the theory.
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中文摘要：
本文构造并研究了仿射定价核的长期因子分解，将其分解为长期债券的收益率贴现和鞅分量，从而实现了概率测度向长期远期测度的转变。与长期因子分解密切相关的仿射定价核的主要特征函数是状态向量的指数仿射函数，其系数向量由Riccati ODE的不动点确定。根据这个不动点，明确地确定了长期债券波动率和鞅分量的波动率。本文提供了资产定价文献中的一系列示例来说明该理论。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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