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### 基于量子场论的信用价差期限结构研究

1. 福州大学经济与管理学院,福州 350108
• 出版日期:2021-03-25 发布日期:2021-06-22

FENG Ling, CHEN Yufan. The Term Structure of Credit Spread Based on Quantum Field Theory[J]. Journal of Systems Science and Mathematical Sciences, 2021, 41(3): 627-639.

### The Term Structure of Credit Spread Based on Quantum Field Theory

FENG Ling, CHEN Yufan

1. School of Economics and Management, Fuzhou University, Fuzhou 350108
• Online:2021-03-25 Published:2021-06-22

In this paper, we study the term structure of corporate bond credit spread by using quantum finance method based on the Heath-Jarrow-Morton model (hereinafter referred to as HJM model). In the quantum field theory model, the volatility of credit spread with different remaining maturity times is not completely correlated. The credit spread has the characteristics of periodic changes, and the volatility correlation is different in different periods. Therefore, this paper makes periodic analysis of credit spread and and divides the empirical data in the time dimension to select the optimal data interval. The results show that the term structure model of credit spread under quantum field theory is better than the traditional HJM model in fitting the market data, and the parameter estimation considering the periodicity of credit spread is also better than that without considering the periodicity. The results of this study have reference significance for the application of quantum finance to the research on the term structure of credit spread of corporate bonds.
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