文章基本信息

标题：Interest-Rate Modeling Conundrums
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作者：Peter C. L. Lin
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2014
卷号：04
期号：05
页码：328-332
DOI：10.4236/jmf.2014.45030
语种：English
出版社：Scientific Research Publishing
摘要：The mainstream research in interest-rate modeling has been focusing on a collection of risk tools and pricing formulas which are developed based on the simplified market assumptions and hypotheses. Despite the elegance of the structure, it is noticed that a crucial yet natural factor is missing: the relationship between curve-fitting algorithms and no-arbitrage restrictions on a bond portfolio. Also, the discrepancy between risk-free and default-free bonds is often ignored. This study discusses the modeling conundrums and proposes a framework based on the preferred-habitat hypothesis for advanced term-structure construction that overcomes these limitations in current models. This article serves as an introduction for future work.
关键词：Interest-Rate Models; Preferred-Habitat Hypothesis; No-Arbitrage Conditions; Curve-Fitting Algorithms; Bond Portfolios