风险的市场价格与期限结构的随机场驱动模型：测度观的时空变化
Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look
摘要：
期限结构无套利模型的特点是零息债券的收益率是短期利率与波动率和风险市场价格的乘积之和。众所周知的模型限制了风险的市场价格的行为，使其不依赖于被建模的资产类型。我们发现，最近提出的模型Goldstein和Santa-Clara和Sornette，除其他外，允许市场价格的风险取决于每种资产的特性，我们量化这种依赖。在我们的分析中的一个关键工具是一个非常普遍的时空变化的测量定理，证明了第一作者在早期的工作，并涵盖连续正交局部鞅测度，包括时空白噪声。
英文摘要：
No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models restrict the behavior of the market price of risk so that it is not dependent on the type of asset being modeled. We show that the models recently proposed by Goldstein and Santa-Clara and Sornette, among others, allow the market price of risk to depend on characteristics of each asset, and we quantify this dependence. A key tool in our analysis is a very general space-time change of measure theorem, proved by the first author in earlier work, and covers continuous orthogonal local martingale measures including space-time white noise.
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