本文選題：結(jié)構(gòu)化產(chǎn)品 + 蒙特卡羅模擬��； 參考：《清華大學(xué)》2013年碩士論文

【摘要】：銀行結(jié)構(gòu)化理財(cái)產(chǎn)品，實(shí)際上是將固定收益證券和金融衍生品融為一體的新型金融產(chǎn)品，其主要特征是其收益一部分固定，另一部分由掛鉤標(biāo)的資產(chǎn)的表現(xiàn)所決定。結(jié)構(gòu)性理財(cái)產(chǎn)品按掛鉤標(biāo)的資產(chǎn)的類型可分為股票掛鉤型、商品掛鉤型、匯率掛鉤型和利率掛鉤型。結(jié)構(gòu)化產(chǎn)品在國內(nèi)發(fā)展時(shí)間還很短，收益結(jié)構(gòu)又較為復(fù)雜，投資者往往很難判斷其真實(shí)的投資價(jià)值。 為此，本文對于銀行結(jié)構(gòu)化理財(cái)產(chǎn)品的定價(jià)進(jìn)行研究，其定價(jià)的理論基礎(chǔ)來源于對金融衍生品定價(jià)。在研究中，，主要采用蒙特卡羅模擬方法對其定價(jià)。進(jìn)一步，為了提高定價(jià)的效率，引入了幾種常見的蒙特卡羅方差縮減技術(shù)（對偶變量技術(shù)，控制變量技術(shù)，重要抽樣技術(shù)，分層抽樣技術(shù)，拉丁超立方體抽樣技術(shù)）和布朗運(yùn)動點(diǎn)生成方法（布朗橋構(gòu)造，主成分分析構(gòu)造），優(yōu)化了模擬效率，改進(jìn)了定價(jià)過程。我們得到結(jié)論，在嵌入亞式期權(quán)的結(jié)構(gòu)化理財(cái)產(chǎn)品定價(jià)中，控制變量法效率最高。 最后本文結(jié)合了實(shí)際案例，對國內(nèi)現(xiàn)在常見的結(jié)構(gòu)化理財(cái)產(chǎn)品進(jìn)行了分析，發(fā)現(xiàn)其中有的具有較高的投資價(jià)值，有的投資價(jià)值并不看好。并對于比較復(fù)雜的掛鉤利率型結(jié)構(gòu)化產(chǎn)品，引入了BDT模型，利用二叉樹方法進(jìn)行定價(jià)，取得了較好的效果。
[Abstract]:Bank structured financial products are in fact a new financial product which combines fixed income securities and financial derivatives. Its main characteristic is that its income is fixed and the other part is determined by the performance of the underlying assets. Structured financial products can be classified into stock pegging, commodity pegging, exchange rate pegging and interest rate pegging according to the types of underlying assets. Structured products in the domestic development time is also very short, the income structure is more complex, investors often find it difficult to judge its true investment value. Therefore, this paper studies the pricing of structured banking products, the theoretical basis of which comes from the pricing of financial derivatives. In the research, Monte Carlo simulation method is mainly used to price it. Furthermore, in order to improve pricing efficiency, several common Monte Carlo variance reduction techniques (dual variable technique, control variable technique, important sampling technique, stratified sampling technique, etc.) are introduced. Latin hypercube sampling method and Brownian motion point generation method (Brownian Bridge structure, Principal component Analysis structure), optimize the efficiency of simulation, and improve the pricing process. We conclude that the control variable method is the most efficient in the pricing of structured financial products embedded in Asian options. Finally, combining with the actual cases, this paper analyzes the common structured financial products in China, and finds that some of them have higher investment value, and some of them are not optimistic. The BDT model is introduced and the binary tree method is used to price the more complex structured products with interest rate hooks, and good results are obtained.
【學(xué)位授予單位】：清華大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.2;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 林榕輝;鄭澤星;;人民幣理財(cái)產(chǎn)品定價(jià)分析與產(chǎn)品創(chuàng)新[J];金融與經(jīng)濟(jì);2007年03期

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