Одно обобщение дискретной модели доходности «коротких» облигаций

В. М. Четвериков; Аевский В. В.

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May 22, 2026

HSE Graduates AI Project Wins at TECH & AI Awards

Daria Davydova, graduate of the HSE Graduate School of Business and Head of the AI Implementation Unit at the Artificial Intelligence Department of Alfa-Bank, received a prize at the TECH & AI Awards. She was awarded for the best AI solution for optimising business processes. The winners were determined as part of the VII Russian Summit and Awards on Digital Transformation (CDO/CDTO Summit & Awards).

May 20, 2026

HSE University Opens First Representative Office of Satellite Laboratory in Brazil

HSE University-St Petersburg opened a representative office of the Satellite Laboratory on Social Entrepreneurship at the University of Campinas in Brazil. The platform is going to unite research and educational projects in the spheres of sustainable development, communications and social innovations.

May 18, 2026

The 'Second Shift' Is Not Why Women Avoid News

Women are more likely than men to avoid political and economic news, but the reasons for this behaviour are linked less to structural inequality or family-related stress than to personal attitudes and the emotional perception of news content. This conclusion was reached by HSE researchers after analysing data from a large-scale survey of more than 10,000 residents across 61 regions of Russia. The study findings have been published in Woman in Russian Society.

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Одно обобщение дискретной модели доходности «коротких» облигаций

С. 79–102.

Chetverikov V., Аевский В. В.

A time –discrete profitability model for “short” obligations is proposed. This model generalizes the well-known Vasicek and Kox-Ingersoll-Ross model. A positive pricing kernel leading to an affine model of obligation prices is introduced. This kernel contains free parameter that can be used to verify the model.

Language: Russian

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Keywords: arbitrage-free principle discrete profitability model yields for n weeks credits принцип безарбитражности дискретные модели Васичека доходности n недельных кредитов

In book

Анализ и моделирование экономических процессов. Сборник статей

Аевский В. В., Андрюшкевич О. А., Беленький В. З., Белкина Т. А., Гребенников В. Г., Ефимов Б. А., Заславский А. А., Денисова И. М., Клеппер Л. Я., Норштейн М. В., Смоляк С. А., Трофимова Н. А., Chetverikov V. Вып. 9. , М.: ЦЭМИ РАН, 2012.