风险市场价格与期限结构随机场驱动模型 测度视图时空变化

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摘要翻译：
无套利期限结构模型的特点是零息债券的收益率是短期利率与波动率和市场风险价格的乘积之和。众所周知的模型限制了风险的市场价格的行为，因此它不依赖于被建模的资产的类型。我们表明，Goldstein和Santa-Clara以及Sornette等人最近提出的模型允许风险的市场价格依赖于每种资产的特征，并且我们量化了这种依赖。我们分析中的一个关键工具是由第一作者在早期工作中证明的一个非常普遍的时空变化测度定理，它涵盖了包括时空白噪声的连续正交局部鞅测度。
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英文标题：
《Market Price of Risk and Random Field Driven Models of Term Structure: A
  Space-Time Change of Measure Look》
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作者：
Hassan Allouba and Victor Goodman
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最新提交年份：
2010
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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：
  No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models restrict the behavior of the market price of risk so that it is not dependent on the type of asset being modeled. We show that the models recently proposed by Goldstein and Santa-Clara and Sornette, among others, allow the market price of risk to depend on characteristics of each asset, and we quantify this dependence. A key tool in our analysis is a very general space-time change of measure theorem, proved by the first author in earlier work, and covers continuous orthogonal local martingale measures including space-time white noise.
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PDF链接：
https://arxiv.org/pdf/1005.3799

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关键词：期限结构 市场价格 市场价 Quantitative Applications 分析 Sornette risk 时空 market