关键词: Generalized stochastic duration, interest rate term structure, HJM Model

Abstract:

This paper focuses on how to measure the interest rate risk. The conventional measure methods of interest rate risk are reviewed and the duration concept is generalized to stochastic duration in the Markovian HJM framework. The generalized stochastic du-ration of the coupon bond is defined as the time to maturity of a zero coupon bond having the same instantaneous variance as the coupon bond. According to this definition, the au-
thors first present the framework of Markovian HJM model, then deduce the measures of stochastic duration in some special cases which cover some extant interest term structure.

Key words: Generalized stochastic duration, interest rate term structure, HJM Model