查看“︁陈模型”︁的源代码

在金融学领域，陳琳模型（Chen model）是一個數學模型，描述利率的动态演變过程。它是一種“三因素模型”（短期利率模型），因為它所描述的利率變動是由三种市場風險推動的。陈琳模型是第一个隨機均值和隨機波動率的利率模型，由经济学家[[陈琳 (经济学家)|陈琳]]发表于1994年。陈琳是哈佛大學毕业的經濟學家，曾為美國[[哈佛大學]]，[[新加坡大學]]，[[貝魯特美國大學]]，韩国[[延世大學]]，瑞士金融学院，[[美林证券]]，[[里昂信貸銀行]]和[[美国聯邦儲備局]]工作。

在陈琳模型中，瞬時利率的演变是由以下隨機微分方程决定的：

:<math> dr_t = (\theta_t-\alpha_t)\,dt + \sqrt{r_t}\,\sigma_t\, dW_t,</math>
:<math> d \alpha_t = (\zeta_t-\alpha_t)\,dt + \sqrt{\alpha_t}\,\sigma_t\, dW_t,</math>
:<math> d \sigma_t = (\beta_t-\sigma_t)\,dt + \sqrt{\sigma_t}\,\eta_t\, dW_t.</math>

陳琳模型被全球金融機構广泛采用， 它不但具有实际意义， 同时也具有重要的学术价值。在一份權威的現代金融学文献述评中（“金融学的連續時間方法：回顧與評價” <ref>{{cite journal | url=https://www0.gsb.columbia.edu/faculty/ssundaresan/papers/Sundaresan_JF_Continuos_time_review.pdf | title=Continuous-Time Methods in Finance: A Review and an Assessment | author=Suresh M. Sundaresan | journal=The Journal  of Finance | date=August 2000 | volume=LV | issue=4 | access-date=2022-11-16 | archive-date=2021-10-20 | archive-url=https://web.archive.org/web/20211020093446/https://www0.gsb.columbia.edu/faculty/ssundaresan/papers/Sundaresan_JF_Continuos_time_review.pdf | dead-url=no }}</ref>），陳琳模型被列為利率期限結構的主要模型。美国学者[[詹姆斯和韋伯]]的教科书有几节專門討論陳琳模型。瑞士学者[[吉布森]]等人的利率理论综述也有專門一節介绍陳琳模型。丹麦学者[[安德森]]等人的文章专门致力于研究、评估和推廣陳琳模型。美国学者伽伦等人的文章測試和验证了陳琳模型和其他利率模型。 美国博士生蔡在她的博士論文研究中测试陳琳模型和其他競爭模型。

==相关条目==
*[[金融市场学]]
*[[金融工程学]]
*[[数理金融学]]
*[[金融计量经济学]]
*[[金融數學]]
*{{le|瓦西塞克模型|Vasicek model}}

==参看==
{{reflist}}
*{{cite journal| author = Lin Chen |year= 1996 | title= Stochastic Mean and Stochastic Volatility — A Three-Factor Model of the Term Structure of Interest Rates and Its Application to the Pricing of Interest Rate Derivatives | journal=Financial Markets, Institutions, and Instruments |volume=5|pages=1–88}}
* {{cite book | author = Lin Chen | year = 1996 | title = Interest Rate Dynamics, Derivatives Pricing, and Risk Management | url = https://archive.org/details/interestratedyna0000chen | series=Lecture Notes in Economics and Mathematical Systems, 435|publisher = Springer| isbn=978-3540608141 }}
* {{cite book | author = Jessica James and Nick Webber | year = 2000 | title = Interest Rate Modelling
| publisher = Wiley Finance }}
* {{cite book | author =Rajna Gibson,François-Serge Lhabitant and Denis Talay |  year = 2001 |title= Modeling the Term Structure of Interest Rates: A Review of the Literature |publisher= RiskLab, ETH }}
*{{cite book |author= Frank J. Fabozzi and [[Moorad Choudhry]] |year=2007 |
title=The Handbook of European Fixed Income Securities |publisher=Wiley Finance}}
*{{cite book |author= Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva |year= 2007 |title=Dynamic Term Structure Modeling: The Fixed Income Valuation Course |publisher=Wiley Finance}}
*{{cite journal|doi=10.1111/0022-1082.00261|title=Continuous-Time Methods in Finance: A Review and an Assessment|url=https://archive.org/details/sim_journal-of-finance_2000-08_55_4/page/1569|author=Sundaresan, Suresh M.| journal=The Journal of Finance| volume=55 |number=4| year=2000| pages=1569–1622}}
*{{cite book|author= Andersen, T.G.,  L. Benzoni, and J. Lund  |year=2004 |title=Stochastic Volatility, Mean Drift, and Jumps in the Short-Term Interest Rate, |publisher=Working Paper, Northwestern University}}
*{{cite book|author= Gallant, A.R., and G. Tauchen  |year=1997, |title=Estimation of Continuous Time Models for Stock Returns and Interest Rates, |publisher=Macroeconomic Dynamics 1, 135-168.}}
*{{cite book|author= Cai, L.|year= 2008|title= Specification Testing for Multifactor Diffusion Processes:An Empirical and Methodological Analysis of Model Stability Across Different Historical Episodes|publisher= Rutgers University|url= http://econweb.rutgers.edu/lcai/lili_files/JobMarketPaper.pdf}}{{dead link|date=2018年1月 |bot=InternetArchiveBot |fix-attempted=yes }}

{{Stochastic processes}}

[[Category:金融理论]]
[[Category:金融数学]]
[[Category:金融工程学]]