基于利率期限结构的随机久期与凸度模型构建及应用被引量：10

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摘要文章以Vasicek与CIR利率期限结构模型为基础,重新构造了利率风险管理的随机久期与凸度金融工具,从而提出了反映利率动态变化的随机久期及凸度金融工具,并据此可以进行利率风险的"免疫"技术管理。

作者王克明梁戍

机构地区中山大学管理学院中南财经政法大学

出处《统计与决策》 CSSCI 北大核心 2010年第24期158-160,共3页 Statistics & Decision

关键词利率期限结构利率风险久期凸度

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