Generalizing the Affine Framework to HJM and Random Field Models
Generalizing the Affine Framework to HJM and Random Field Models
复制标题
将仿射框架推广到 HJM 和随机场模型
DOI：
10.2139/ssrn.410421
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发表时间：
2003
期刊：
影响因子：
--
通讯作者：
R. Goldstein
中科院分区：
文献类型：
--
作者：
P. Collin;R. Goldstein
我们发现了一类具有广义仿射结构的期限结构模型，它极大地扩展了Duffie，潘和Singleton(2000)和Chacko和Das(2002)所研究的类别。这类模型既包括无限状态变量(即HJM型)模型，也包括无限因子(随机场)模型，具有特征函数的解析解，而特征函数又为许多类型的固定收益衍生品提供了闭合形式的解。此外，广义仿射框架还提供了最优投资组合选择问题的解析解。在随机的田野环境中，最优投资组合决策是唯一的，这反过来又为“首选栖息地”理论提供了理由。
We identify a class of term structure models possessing a generalized affine-structure that significantly extends the class studied by Duffie, Pan, and Singleton (2000) and Chacko and Das (2002). This class of models, which includes both infinite-state-variable (i.e., HJM-type) and infinite-factor (random field) models, possesses analytic solutions for the characteristic function, which in turn provides closed-form solutions for many types of fixed income derivatives. In addition, the generalized affine framework provides analytic solutions to the optimal portfolio choice problem. In a random field setting, the optimal portfolio decision is unique, in turn providing a justification for 'preferred habitat' theories.