密歇根大學(xué)李海濤教授在中國人民大學(xué)財(cái)政金融學(xué)院作了一場題為“仿射跳躍期限結(jié)構(gòu)模型-期望困惑和條件波動”的講座，中國人民大學(xué)財(cái)政金融學(xué)院已經(jīng)發(fā)展成為國內(nèi)財(cái)政金融領(lǐng)域的教學(xué)科研重鎮(zhèn)，并成為教育部高等學(xué)校金融學(xué)類專業(yè)教學(xué)指導(dǎo)委員會秘書處和全國金融專業(yè)學(xué)位研究生教育指導(dǎo)委員會秘書處所在單位。

　　仿射期限結(jié)構(gòu)模型(ATSMs)忽略利率證據(jù)充分的跳躍和不同時(shí)捕獲“的期望之謎”，并隨時(shí)間變化的收益率的波動性。我們開發(fā)以下仿射跳躍擴(kuò)散仿射跳期限結(jié)構(gòu)模型(AJTSMs)與狀態(tài)變量，并提供使用LIBOR三因素AJTSMs和掉期利率全面的實(shí)證分析。我們表明，跳轉(zhuǎn)有利于進(jìn)行抓拍，在短期和長期期限的條件偏度和收益率的峰度，并導(dǎo)致收益率條件波動性和風(fēng)險(xiǎn)的市場價(jià)格更加靈活的特定陽離子。兩個(gè)子類的三要素AJTSMs同時(shí)捕獲“的期望之謎”，并隨時(shí)間變化的收益率波動。

　　原文：Affine term structure models (ATSMs) ignore well-documented jumps in interest rates and fail to simultaneously capture the “expectation puzzle” and time-varying yield volatility. We develop affine jump term structure models (AJTSMs) with state variables following affine jump-diffusions and provide a comprehensive empirical analysis of three-factor AJTSMs using LIBOR and swap rates. We show that jumps help to capture the conditional skewness and kurtosis of yields at short and long maturities and lead to more exible speci cations of conditional yield volatility and market prices of risks. Two sub-classes of three-factor AJTSMs simultaneously capture the“expectation puzzle”and time-varying yield volatility