本文選題：利息理論 + 利率期限結(jié)構(gòu)��； 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：利率問(wèn)題一直是資產(chǎn)定價(jià)和風(fēng)險(xiǎn)管理的重要問(wèn)題,利率的相關(guān)理論主要有傳統(tǒng)的金融理論和現(xiàn)代的數(shù)學(xué)理論,后者又分為靜態(tài)的利率期限結(jié)構(gòu)和動(dòng)態(tài)的隨機(jī)利率模型理論.對(duì)于不同的利率市場(chǎng),不同的模型有著不同的應(yīng)用,所以它是金融領(lǐng)域的重點(diǎn)研究問(wèn)題. 文章首先梳理了利率的相關(guān)理論,介紹了利率市場(chǎng)和利率的數(shù)學(xué)理論,介紹了各種模型及其數(shù)學(xué)性質(zhì)和實(shí)務(wù)方法.文章對(duì)Shibor利率做了實(shí)證分析,除了常見(jiàn)的Vasicek模型和CIR模型之外,還討論了指數(shù)Vasicek模型,得到了相關(guān)結(jié)果,找出了適用于Shibor利率的短期利率模型.此外還討論了折現(xiàn)因子和風(fēng)險(xiǎn)中性定價(jià)的聯(lián)系. 文章的主要意義在于討論了在中國(guó)金融市場(chǎng)中有著基礎(chǔ)性地位的Shibor利率,找出了適用于Shibor利率的短期利率模型.而之前的實(shí)證型文章大多注意在國(guó)債利率上.
[Abstract]:The interest rate problem has always been an important issue in asset pricing and risk management. The related theories of interest rate mainly include traditional financial theory and modern mathematical theory. The latter is divided into static term structure of interest rate and dynamic stochastic interest rate model theory. For different interest rate markets, different models have different applications, so it is a key issue in the field of finance. In this paper, the relevant theories of interest rate are reviewed, the interest rate market and the mathematical theory of interest rate are introduced, and various models, their mathematical properties and practical methods are introduced. This paper makes an empirical analysis on Shibor interest rate. Besides the common Vasicek model and CIR model, it also discusses the exponential Vasicek model, obtains the relevant results, and finds out the short-term interest rate model suitable for Shibor interest rate. In addition, the relationship between discount factor and risk neutral pricing is discussed. The main significance of this paper is to discuss the Shibor interest rate, which has a basic position in the Chinese financial market, and to find out the short-term interest rate model suitable for the Shibor interest rate. Previous empirical articles have mostly focused on interest rates on government bonds.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F224;F832.5

【共引文獻(xiàn)】

相關(guān)期刊論文 前1條

1 徐承龍;邊保軍;;金融數(shù)學(xué)課程設(shè)置與專(zhuān)業(yè)建設(shè)的一些體會(huì)[J];大學(xué)數(shù)學(xué);2014年01期

相關(guān)碩士學(xué)位論文 前2條

1 陳佳琪;離散算術(shù)平均亞式期權(quán)定價(jià)研究[D];華中師范大學(xué);2014年

2 吳盈盈;國(guó)內(nèi)結(jié)構(gòu)性理財(cái)產(chǎn)品定價(jià)及收益研究[D];首都經(jīng)濟(jì)貿(mào)易大學(xué);2014年

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本文編號(hào)：1943059