摘要翻译：
本文通过一个相关的类CIR双变量模型研究了意大利和一个AAA级欧洲国家的利率期限结构的联合描述，其中一个状态变量被解释为基准无风险利率，另一个被解释为信用利差。该模型是通过要求利率的严格正性和两个状态变量的联合分布在长时域上的渐近解耦来构造的。第二个条件是通过对产品度量施加过程的可逆性来满足的，然后利用势论的工具来实现第一个条件。结果表明，这些条件选择了一类非仿射模型，其中我们选择了一个在漂移和扩散矩阵中两个状态变量都是二次型的模型。我们通过研究期限结构的横截面对模型进行了数值分析，并将结果与非耦合二元CIR模型的结果进行了比较。
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英文标题：
《Modelling interest rates by correlated multi-factor CIR-like processes》
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作者：
L. Bertini, L. Passalacqua
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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英文摘要：
  We investigate the joint description of the interest-rate term stuctures of Italy and an AAA-rated European country by mean of a --here proposed-- correlated CIR-like bivariate model where one of the state variables is interpreted as a benchmark risk-free rate and the other as a credit spread. The model is constructed by requiring the strict positivity of interest rates and the asymptotic decoupling of the joint distribution of the two state variables on a long time horizon. The second condition is met by imposing the reversibility of the process with respect to a product measure, the first is then implemented by using the tools of potential theory. It turns out that these conditions select a class of non-affine models, out of which we choose one that is quadratic in the two state variables both in the drift and diffusion matrix. We perform a numerical analysis of the model by investigating a cross section of the term structures comparing the results with those obtained with an uncoupled bivariate CIR model.
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PDF链接：
https://arxiv.org/pdf/0807.3898