Chapter10 Term-Structure Modela.ppt

Chapter10 Term-Structure Modela 報告者:施嘉紋 指導教授:戴天時 10.1 Introduction 10.2 Affine-Yield Models For each of these types of models, there is a canonical model(a simplest way of writing the model) Two-factor model can be obtained from one of the three canonical models by changing variables. It is desirable when calibrating a model to first change the variables to put the model into a form having the minimum number of parameters ; otherwise, the calibration can be confounded by the fact that multiple sets of parameters yield the same result. 10.2.1 Two-Factor Vasicek Model 10.2.1 Two-Factor Vasicek Model Canonical Form Canonical Form