标题： 风险的市场价格和由随机场驱动的期限结构模型：一种时空测度变换的观点 显示英文标题

标题： Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look

摘要： 无套利期限结构模型的特点是，零息债券的收益等于短期利率与波动率和风险价格的乘积之和。 著名模型限制了风险价格的行为，使其不依赖于所建模资产的类型。 我们表明，Goldstein 和 Santa-Clara 以及 Sornette 等人最近提出的模型允许风险价格依赖于每个资产的特征，并且我们量化了这种依赖性。 我们分析中的关键工具是一个非常一般的时空测度变换定理，由第一位作者在之前的工作中证明，该定理涵盖了连续正交局部鞅测度，包括时空白噪声。 显示英文摘要

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.