基于区制转移模型的短期利率动态行为研究

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1、指导小组成员名单蒋祥林副教授陈学彬教授陆前进副教授刘庆富副教授基于区制转移模型的短期利率动态行为研究目录摘要............................................................................................................................................……1Abstract...................................................................................

2、...................................................……3第一章引言..........................……‘................……，..…、..……、二、……、...一，二、.........……、、..…、.……51.1研究背景...............................……，................................................................................……51.2研究的目的及意义....

3、...............................········································4·······，··················……71.2.1本文的研究目的....................................................···········································……71.2.2本文的研究意义..........................................·······················

4、······························……71.3研究的基本结构，.........................................................................······..·.·····················……8第二章文献综述......................................................................................................·........·····……92.1动态利率模型..

5、.............……，....................................……，..........··································……92.1.1单因素模型下的短期利率动态行为......……，，................................................……92.1.2多因素模型下的短期利率动态模型............................................……，.........……102.1.3跳跃一扩散模型下的短期利率动态行为...

6、.................................................……n2.1.4区制转移一扩散模型下的短期利率动态行为............................................……122.2国内利率动态行为的经验研究...............................................................................……13第三章含有区制转移动态利率模型的构建...............................................

7、......................……173.1单因素扩散模型.......................................................................····.···························一173.2含区制转移的单因素扩散模型.....................................................................……，....……173.3马尔利·夫链转移概率矩阵...................