JER, 第 9 卷Hanyang Economic Research Institute in collaboration with Hanyang University College of Business and Economics, 2004 |
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第 1 到 3 筆結果,共 46 筆
第 3 頁
... risk , i.e. the choice of EMM is closely related to the term premium , or expected excess return of bonds . It is well - known that it has a high time variability , and the volatility of interest rates is time varying . These stylized ...
... risk , i.e. the choice of EMM is closely related to the term premium , or expected excess return of bonds . It is well - known that it has a high time variability , and the volatility of interest rates is time varying . These stylized ...
第 22 頁
market prices of risk as in Section 3 , the FRN can be priced . Denoting by ( t ) the price of FRN providing a random cash flow Fk at time Tk , then the FRN price with default risk is V ( t ) = n Tk ( 1 − K ( t ) ) Σ Eq [ F ̧exp ...
market prices of risk as in Section 3 , the FRN can be priced . Denoting by ( t ) the price of FRN providing a random cash flow Fk at time Tk , then the FRN price with default risk is V ( t ) = n Tk ( 1 − K ( t ) ) Σ Eq [ F ̧exp ...
第 23 頁
... risk ( Brownian part and jump part ) are interactive in the minimal martingale method . It may be plausible that in the presence of jump risk , investors require the additioinal premium on the possible jump risk , although jumps do not ...
... risk ( Brownian part and jump part ) are interactive in the minimal martingale method . It may be plausible that in the presence of jump risk , investors require the additioinal premium on the possible jump risk , although jumps do not ...
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