Application and Model of Term Structure of Stochastic Interest Rate Based on the Inflation Rate

作     者：Yonghong Ma Rongxi Zhou Zhenguang Li 

作者机构：School of Economics and Management Beijing University of Chemical Technology Beijing 100029 China 

出 版 物：《Journal of Systems Science and Information》 (系统科学与信息学报（英文）)

年 卷 期：2007年第5卷第2期

页      面：191-199页

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 

基　　金：This work is supported by National Natural Science Foundation of China (70372011) and the Youth Teacher Foundation of Beijing University of Chemical Technology (QN0521) 

主　　题：model of term structure inflation rate equivalent martingale measure European option 

摘      要：In this paper, we build the arbitrage-free term structure model on the inflation rate, and discuss the relations between the arbitrage-free term structure and the equivalent martingale measure. The volatility terms of diffusion processes of the real forward interest rate, the nominal forward interest rate and the inflation index （Jarrow and Yildirim, 2003） are extended into many dimensional Brownian motions. Moreover, as we derive the differential equations of three-factor term structure, our results are generalized. At last, the analytic solutions of European option can be deduced on the inflation rate.