In a market with stochastic interest rates, we consider an investor who can either (i) invest all of his wealth in a money market account or (ii) purchase zero-coupon bonds and invest the remainder of his wealth in the money market account. The indifference price of the zero-coupon bond is the price at which the investor could achieve the same expected utility under both strategies. In an affine term structure setting, we show that the indifference price of the zero-coupon bond is the root of an integral equation, when the investor's utility function is of exponential or power form. As an example, we compute the indifference price and the corresponding indifference yield curve in the Vasicek model and conduct sensitivity analysis to study the impact of various parameters on the yield curve. Furthermore, we discuss the choice of numéraire and its impact on the indifference prices.

在具有随机利率的市场中，我们考虑一个投资者，他可以 (i) 将所有财富投资于货币市场账户，或者 (ii) 购买零息债券并将剩余财富投资于货币市场账户。零息债券的无差异价格是投资者在两种策略下都能达到相同预期效用的价格。在仿射期限结构设置中，当投资者的效用函数为指数或幂形式时，我们证明零息债券的无差异价格是积分方程的根。例如，我们计算 Vasicek 模型中的无差异价格和相应的无差异收益率曲线，并进行敏感性分析，研究各参数对收益率曲线的影响。此外，