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基于量子场论的信用价差期限结构研究

冯玲,陈雨凡   

  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

冯玲, 陈雨凡. 基于量子场论的信用价差期限结构研究[J]. 系统科学与数学, 2021, 41(3): 627-639.

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
文章采用量子金融的方法, 在Heath-Jarrow-Morton模 型(以下称HJM模型)基础上引入量子场, 对企业债信用价差期 限结构进行研究. 在量子场论模型中, 不同剩余到期时间的信用 价差波动率是不完全相关的, 而信用价差具有周期性变化特征, 在不同周期内的波动率相关性是不同的. 因此文章对信用价差进 行周期性分析, 并对实证数据在时间维度上进行分段, 以选择最 优数据区间. 研究结果表明:量子场论下的信用价差期限结构模 型对市场数据的拟合明显优于传统HJM模型, 考虑信用价差周期性 的参数估计也显著优于不考虑周期的情况. 所研究结果对量子金 融应用于企业债信用价差期限结构的研究具有参考意义.
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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