仿射模型

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摘要翻译：
仿射期限结构模型由于其分析的灵活性和统计的灵活性，在金融领域得到了广泛的关注。本文的目的是提出仿射模型类的理论基础和经验方面。本文从Vasi\v{c}ek和Cox\emph等人的单因子短期利率模型出发，概述了正则仿射过程的性质，并解释了它们与仿射期限结构模型的关系。还讨论了证券定价和参数估计的方法，演示了仿射模型的分析可处理性如何应用于实际目的。
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英文标题：
《Affine Models》
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作者：
Christa Cuchiero, Damir Filipovic, Josef Teichmann
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  Affine term structure models have gained significant attention in the finance literature, mainly due to their analytical tractability and statistical flexibility. The aim of this article is to present both theoretical foundations as well as empirical aspects of the affine model class. Starting from the original one-factor short-rate models of Vasi\v{c}ek and Cox \emph{et al,} we provide an overview of the properties of regular affine processes and explain their relationship to affine term structure models. Methods for securities pricing and for parameter estimation are also discussed, demonstrating how the analytical tractability of affine models can be exploited for practical purposes.
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PDF链接：
https://arxiv.org/pdf/0809.1985

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关键词：Differential Quantitative relationship Applications Statistical 性质 理论 正则 演示 affine