Term Structure Dynamics in Theory and Reality
评述了定价固定收益证券及其市场收益率期限结构的模型，重点考察理论模型对历史收益率曲线形状变化的拟合能力，并评估其在预测收益率变化、波动率持续性及定价衍生品方面的表现。
This paper is a critical survey of models designed for pricing fixed income securities and their associated term structures of market yields. Our primary focus is on the interplay between the theoretical specification of dynamic term structure models and their empirical fit to historical changes in the shapes of yield curves. We begin by over viewing the dynamic term structure models that have been fit to treasury or swap yield curves and in which\nthe risk factors follow diffusions, jump-diffusion, or have \\switching regimes." Then the goodness-of- ts of these models are assessed relative to their abilities to: (i) match linear projections of changes in yields onto the slope of the yield curve; (ii) match the persistence of conditional volatilities, and the shapes of term structures of unconditional volatilities, of yields; and (iii) to reliably price caps, swaptions, and other fixed-income derivatives. For the\ncase of defaultable securities we explore the relative ts to historical yield spreads.