摘要翻译：
本文提出了一种零息债券波动率已知的远期到期收益率的Monte Carlo定价方法。我们做了确定性违约强度（风险率函数）的假设。我们不假设收益率的波动性。我们实际上计算远期收益率的初值，我们计算收益率的波动率，我们写收益率的扩散。作为直接应用，我们在短期利率下的Hull and White模型中对固定期限国债(CMT)期权进行定价。10年期固定到期国库(CMT10)的上限和下限测试结果令人满意。这项工作也可用于债券或远期债券的期权定价。
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英文标题：
《Yield to maturity modelling and a Monte Carlo Technique for pricing
  Derivatives on Constant Maturity Treasury (CMT) and Derivatives on forward
  Bonds》
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作者：
Didier Kouokap Youmbi
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (Hazard Rate Function). We make no assumption on the volatility of the yield. We actually calculate the initial value of the forward yield, we calculate the volatility of the yield, and we write the diffusion of the yield. As direct application we price options on Constant Maturity Treasury (CMT) in the Hull and White Model for the short interest rate. Tests results with Caps and Floors on 10 years constant maturity treasury (CMT10) are satisfactory. This work can also be used for pricing options on bonds or forward bonds.
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PDF链接：
https://arxiv.org/pdf/1204.4631