发帖
雷达卡
导师推荐了一片未完成的论文题目为CIR Short Spot Interest Rate Process and the Integrated Yield Process。具体翻译成中文是什么意思。还有以下两段确切的意思是什么
1) mean reverting process: the interest rate reaches asymptotically to a certain mean level in a long
time run, and
2) strictly positive process: the interest rate never goes below zero.
Recently Takahashi [2008] applies Cox Process to Credit Risk valuation, and he uses the integrated rate
(yield) instead of spot rate. This model is a kind of Taylor Expansion of yield rate, and the model
necessarily needs higher order moment calculation of the yield. This research gives an important solution
and application to the model when Cox process follows CIR type stochastic process.
京公网安备 11010802022788号
