单因子模型

为了求解方便，在利率期限结构选择中通常选择的单因子模型具有一个严重的缺陷，即不同到期期限的债券价格是完全相关的，这与事实不符。

There is a defect for the one factor model of interest rates that the prices of the bonds with different but correlative maturities .

基于混合分布单因子模型的CDO定价问题

Single Factor Model with Mixture Distributions for CDO Pricing

具体而言，本文利用BKM模型，提取风险中性测度下的收益率二阶矩、三阶矩，并结合单因子模型，构建隐含贝塔的求解公式。

Specifically , we use BKM model to extract the second moment , third moment under the risk-neutral measure . Combined with the single-factor model , we build the implied beta .

巴塞尔Ⅱ在第一支柱框架下，要求使用内部评级法计量经济资本，并给出了计量信用风险的基础模型&渐进单因子模型（ASRF）。

The internal ratings method is required to use to measure economic costs under the framework of The first pillar of Basel ⅱ, and the asymptotic single risk factor ( ASRF ) model is also put into practice as the basic model to measure economic costs .

第一个模型是简单的单因子模型，它假设商品现货的对数价格服从一个均值反转过程。

The first model is a simple one-factor model in which the logarithm of the spot price of the commodity is assumed to follow O & U process which has a mean reverting character .

在随机利率下，分别就单因子模型和双因子模型两种情况展开讨论，利用等价鞅测度模型给出欧式外汇期权定价的一般公式。

Under stochastic interest , by using of equivalent martingale measures model , we discuss single - factor model and two-factor model respectively , and obtain pricing formula of European option on foreign currency .

通过实证表明：单因子模型对利率的动态变化解释远不如三因子模型；不同的市场风险价格假定在利率的拟合上效果不同。

The empirical study shows that the single factor model is worse than the three factor model in explaining the dynamic changes in interest rates ; different fitting effect of different market risk price hypothesis in interest rates .

回购利率期限结构扣除单因子模型给出的利率风险溢酬后，服从纯预期假设，单因子本性仿射模型可以解释银行间市场回购利率风险溢酬的变化。

The repo rates , after deducting the premium imposed by one-factor essential affine model , are in accordance with pure expectations hypothesis , and one-factor essential affine model can explain the time-varying term premium of repo rates in the inter-bank market .

通过灰色GM（1,1）单因子预测模型对影响因素进行了预测，并提出了有关对策建议。

The grey GM ( 1,1 ) single factor forecast model shows that in future the ability and efficiency of technology innovation will be improved . Some suggestions are given .

首先，文章中使用广义矩方法（GMM）估计单因子利率模型的参数，通过一些检验值判断最符合市场利率波动的单因子利率模型。

Firstly , the article use the general method of moments to estimate parameters in single factor interest rate models . After testing , we assess which one matches the market interest rate volatility best .

之后，还将二元波动率情形推广到了多元波动率情形。最后，讨论了正态-NIG混合单因子Copula模型的CDO定价问题。

Then , the case of binary volatility is extended to the case of multivariate volatility . Finally , we introduce the normal - NIG mixture distribution in Single-factor Copula model to discuss the CDO pricing problem .

目前，市场上对合成型债务抵押债券（SCDO）定价的方法中最流行的是单因子高斯模型。

The most popular model for pricing Synthetic Collateralized Debt Obligation ( SCDO ) is One Factor Gaussian Copula model .

含跳跃过程单因子利率模型的估计&基于中国国债回购利率的实证分析

Estimation for One-Factor Term Structure of Interest Rates With Jumps : Evidence from Government Bond Market

基于单因子实验模型的坦克射击单车差异分析

The Analysis of the Difference of Single Tank 's Fire Ability based on Single-factor Experiment Model

由极大似然估计可以得到单因子利率模型的边际密度函数。

The marginal densities of single-factor interest rate models can be obtained by maximum likelihood estimation .

模型系统包含单因子评价模型、综合评价模型和空间插值模型。

The model system covers single index evaluation model , comprehensive evaluation model , and spatial interpolation model , etc.

单因子利率模型下的传统寿险产品不仅考虑到了利率的变动，而且价格有明显的降低。

Traditional life insurance using single factor interest rate models not only considers change of interest rate , but also its price lower obviously .

本文论证了双曲模型是描述中国货币市场利率动态变化的最佳单因子利率模型。

This article demonstrates that hyperbolic model is the most suitable single-factor interest rate model to describe the dynamics of Chinese money market interest rates .

总的来说，湖泊富营养化模型大概经历了以下三个发展阶段：（1）单限制因子模型，如磷模型；

In general , three developing phases of models of lake eutrophication have been arisen : ( 1 ) Single limited factor models , such as the phosphorus model .

将非平稳的时变随机过程进行平稳化处理，建立了时变随机量量化的单因子函数模型和多因子综合模型。

Through the treatment of unsteady time-varying stochastic process , a functional model of time-varying stochastic process with a single factor and a comprehensive model with various factors are established .

第四章检验了单因子高斯模型中利差对相关系数的敏感性，介绍了两种隐含相关性：复合相关性和基础相关性。

Chapter four discusses the sensitivity of spread to correlation using One Factor Gaussian Copula model and introduces the two approaches to calculate correlation : compound correlation and base correlation .

在大损失小概率情况下，给出了两个尾部逼近模型：多状态齐次单因子逼近模型和多状态鞍点逼近模型，并进行了数值模拟。

Two tail approximation models , the multistate homogeneous single factor approximation model and the saddle point approximation model , have been proposed based on large losses with small probability . The proposed models are tested by simulation .

本文改进了单因子高斯模型，添加影响资产池中资产质量的滞后因子，提出了考虑滞后因子的单因子高斯模型。

This dissertation improves the One Factor Gaussian Copula model and comes up with a new model called One Factor Gaussian Copula model Considering Lag Factors . We take into account lag factors which have impact on the quality of collateral in the asset pool .

第五章提出了考虑滞后因子的单因子高斯模型，并且选择利率作为滞后因子，对模型参数进行校准，最后还讨论了新模型相对于标准单因子高斯模型的优点。

In Chapter five , we introduce the new model : One Factor Gaussian Copula considering Lag Factors and calibrate the new model to market spreads . Additionally , we list the strengths of this new model over standard One Factor Gaussian Copula model in chapter five .

将湖泊富营养化模型分为单因子负荷模型、浮游植物与营养盐相关模型、生态动力学模型，介绍了这3种模型的特征，进而讨论了湖泊富营养化模型的发展趋势。

This paper divides the lake eutrophication models into the single factor load model , the phytoplankton and nutrient salts related model and the ecological dynamics model , introduces basic characteristics of the three kinds of models , and probes into the developing trends of lake eutrophication model .

实证结果表明所有的单因子短期利率模型都不能很好地描述中国上海证券交易所债券市场上的短期利率变化，CKLS模型是它们中表现最好的单因子利率模型。

The results show that all the single-factor models cannot match dynamic change of the short interest rate , and the CKLS model does the best among them .

高浊度水透光脉动单因子投药自控模型实验

Auto-control Modelling Experiment of High Turbidity Water with Transparent Pulsation Single-factor Flocculant Adding

一种单因子异方差模型的分析方法

Analysis Method of Single Factor Heteroscedastic Model

本文提出了一种单因子异方差模型，导出这种异方差分析方法，并给出了模型中均值与方差的估计。

This paper presents a single factor heteroscedastic model , deduce a method of this heteroscedastic analysis , and presents the estimation of mean and variance in this model .

在CKLS模型的基础上，笔者提出了一个加入跳跃过程的单因子利率期限结构模型。

In this paper , based on the model of CKLS , we develop a new one-factor term structure model of interest rates , which allows for jumps in interest rates .