Equilibrium Positive Interest Rates: A Unified View
建立了定价核方法与Heath-Jarrow-Morton框架之间的精确联系，为任意无套利期限结构模型提供了支持该模型的一般均衡经济，并特别关注正利率模型，通过建模定价核漂移构建了新的马尔可夫正利率模型族。
This article develops precise connections among two general approaches to building interest rate models: a general equilibrium approach using a pricing kernel and the Heath, Jarrow, and Morton framework based on specifying forward rate volatilities and the market price of risk. The connections exploit the observation that a pricing kernel is uniquely determined by its drift. Through these connections we provide, for any arbitrage-free term structure model, a representative-consumer real production economy supporting that term structure model in equilibrium. We put particular emphasis on models in which interest rates remain positive. By modeling the dynamics of the drift of the pricing kernel, we construct a new family of Markovian-positive interest rate models.