陈模型

在金融学领域,陈琳模型(Chen model)是一个数学模型,描述利率的动态演变过程。它是一种“三因素模型”(短期利率模型),因为它所描述的利率变动是由三种市场风险推动的。陈琳模型是第一个随机均值和随机波动率的利率模型,由经济学家陈琳发表于1994年。陈琳是哈佛大学毕业的经济学家,曾为美国哈佛大学新加坡大学贝鲁特美国大学,韩国延世大学,瑞士金融学院,美林证券里昂信贷银行美国联邦储备局工作。

在陈琳模型中,瞬时利率的演变是由以下随机微分方程决定的:

陈琳模型被全球金融机构广泛采用, 它不但具有实际意义, 同时也具有重要的学术价值。在一份权威的现代金融学文献述评中(“金融学的连续时间方法:回顾与评价” [1]),陈琳模型被列为利率期限结构的主要模型。美国学者詹姆斯和韦伯的教科书有几节专门讨论陈琳模型。瑞士学者吉布森等人的利率理论综述也有专门一节介绍陈琳模型。丹麦学者安德森等人的文章专门致力于研究、评估和推广陈琳模型。美国学者伽伦等人的文章测试和验证了陈琳模型和其他利率模型。 美国博士生蔡在她的博士论文研究中测试陈琳模型和其他竞争模型。

相关条目

参看

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