Fundamental Properties of Bond Prices in Models of the Short-Term Rate
推导了无套利债券价格对短期利率过程的约束条件，重点分析债券价格与短期利率波动率的关系，并用例子说明跳跃和违约情形。
This article develops restrictions that arbitrage-constrained bond prices impose on the short-term rate process in order to be consistent with given dynamic properties of the term structure of interest rates. The central focus is the relationship between bond prices and the short-term rate volatility. In both scalar and multidimensional diffusion settings, typical relationships between bond prices and volatility are generated by joint restrictions on the risk-neutralized drift functions of the state variables and convexity of bond prices with respect to the short-term rate. The theory is illustrated by several examples and is partially extended to accommodate the occurrence of jumps and default. Copyright 2003, Oxford University Press.