作 者: ;
机构地区: 暨南大学
出 处: 《科学技术与工程》 2012年第9期2105-2108,共4页
摘 要: 通过Girsanov定理进行测度变换,构造新的测度,然后在布朗运动终值点确定的事件前提下利用不同测度事件发生的条件概率相等来剔除布朗桥过程中漂移率影响因素,并再次使用测度变换与L'Hopitl准则获得其极值的分布。同时采用布朗桥运动模型描述六只交易所挂牌交易的国债的波动,VaR(在险价值)衡量国债风险水平,最后利用布朗桥运动极值分布的结果获得六只债券的VaR(在险价值)。 By Girsanov measure transformation theorems,a new measure is constructed,when to pin the brownian motion,the conditional probabilities under two different measure are the same.So in brownian bridge process the drift rate factors is reiected,and measure change is used again and L'Hopitl criteria is implemented to obtain the extreme value distribution.Brownian Bridge model also is used to illustrate the fluctuations of six government bonds,VaR(value at risk) to describe the level of risk,and finally achieve VaR(value at risk) by the extreme value distribution of the Brownian bridge process.
领 域: [经济管理]