SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM
SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM
复制标题
可分离项结构和最大程度问题
DOI：
10.1111/j.1467-9965.2002.tb00128.x
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发表时间：
2002
影响因子：
1.6
通讯作者：
D. Filipović
中科院分区：
文献类型：
--
作者：
D. Filipović
本文讨论无套利环境下的可分离期限结构扩散模型。利用一般一致性结果，我们利用扩散系数与决定正向曲线的函数之间的相互作用。我们介绍了一类特殊的多项式项结构模型。我们给出了二次项结构模型的扩散必然是Ornstein - Uhlenbeck型过程的适当条件。最后，我们探讨了最大次问题，并证明基本上任何一致多项式项结构模型都是2次或更少的。
This paper discusses separablc term structure diffusion models in an arbitrage‐free environment. Using general consistency results we exploit the interplay between the diffusion coefficients and the functions determining the forward curve. We introduce the particular class of polynomial term structure models. We formulate the appropriate conditions under which the diffusion for a quadratic term structure model is necessarily an Ornstein‐Uhlenbeck type process. Finally, we explore the maximal degree problem and show that basically any consistent polynomial term structure model is of degree two or less.