Bond indifference prices
研究了在随机利率市场中，投资者在货币市场账户与零息债券之间选择时的无差异价格，推导了指数或幂效用函数下的积分方程解，并在Vasicek模型中计算了无差异收益率曲线。
In a market with stochastic interest rates, we consider an investor who can either (i) invest all of his wealth in a money market account or (ii) purchase zero-coupon bonds and invest the remainder of his wealth in the money market account. The indifference price of the zero-coupon bond is the price at which the investor could achieve the same expected utility under both strategies. In an affine term structure setting, we show that the indifference price of the zero-coupon bond is the root of an integral equation, when the investor's utility function is of exponential or power form. As an example, we compute the indifference price and the corresponding indifference yield curve in the Vasicek model and conduct sensitivity analysis to study the impact of various parameters on the yield curve. Furthermore, we discuss the choice of numéraire and its impact on the indifference prices.