本文關(guān)鍵詞：基于LIBOR市場模型的區(qū)間累積型利率衍生品定價分析　出處：《上海交通大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： LIBOR市場模型 LIBOR利率 SHIBOR利率 拔靴法 區(qū)間累積型利率衍生品 蒙特卡洛模擬

【摘要】：利率模型在對利率衍生品定價的過程中起著非常重要的作用，在國內(nèi)市場，更多的利率衍生品嵌套在結(jié)構(gòu)式產(chǎn)品中，使這些產(chǎn)品具有復(fù)雜的結(jié)構(gòu)。LIBOR市場模型因其完善的體系和與實際市場的緊密聯(lián)系性而被廣泛地應(yīng)用在對此類具有復(fù)雜結(jié)構(gòu)且路徑依賴的結(jié)構(gòu)式產(chǎn)品定價中。 論文重點討論了在LIBOR市場模型下區(qū)間累積型利率衍生品的定價過程。首先以匯豐銀行于2010年末發(fā)行的一款掛鉤美元LIBOR利率的區(qū)間累積型結(jié)構(gòu)式理財產(chǎn)品為研究對象，討論了在LIBOR市場模型下區(qū)間累積型利率衍生品的定價過程。 將模型得到的產(chǎn)品理論價值和市場價格相比，可以看出理論價值略高于市場價格，發(fā)行商屬于溢價發(fā)行，但是如果考慮到國內(nèi)資本管制、發(fā)行商的攬儲目的以及流動性溢價、通貨膨脹溢價和信用差價因素，則發(fā)行商溢價發(fā)行該產(chǎn)品較為符合當(dāng)時實際情況，模型的定價結(jié)果基本符合市場報價情況。 在此基礎(chǔ)上，論文進而設(shè)計一款較為適合國內(nèi)市場的掛鉤SHIBOR利率以及交換利率的雙區(qū)間累積型產(chǎn)品并通過LIBOR市場模型對此進行了合理定價。 通過實證分析，，論文認為LIBOR市場模型并結(jié)合蒙特卡洛模擬是針對區(qū)間累積型利率衍生品進行定價較為合適的一種模型，我們可以較為方便地應(yīng)用該模型對這種具有復(fù)雜結(jié)構(gòu)且路徑依賴的產(chǎn)品進行定價。
[Abstract]:Interest rate model plays a very important role in the process of interest rate derivatives pricing, in the domestic market, more interest rate derivatives embedded in the structure of the product, so that the product has a market structure of.LIBOR complex model because of its perfect system and close contact with the actual market and is widely used in such a the pricing of structured products rely on complex structure and path.
This paper mainly discusses the pricing process in LIBOR market model under interval cumulative interest rate derivatives. First of all to HSBC in the interval at the end of 2010 issued a pegged rate cumulative LIBOR type financial products as the research object, discusses the pricing process of cumulative interest rate derivatives in the LIBOR market model region.
Compared to model obtained product theory value and market price, we can see that the theoretical value is slightly higher than the market price, the issuer is issued at a premium, but if taking into account the domestic capital controls, the publisher's Lanchu goal as well as the liquidity premium, premium inflation and credit spread factors, then issue the vendor of the product is consistent with the actual premium at the time the pricing model, results are consistent with the market price.
On this basis, the paper further designs a dual interval cumulative product which is suitable for the domestic market to hook SHIBOR interest rate and exchange rate, and reasonably pricing it through the LIBOR market model.
Through empirical analysis, we think that LIBOR market model and Monte Carlo simulation is for the interval cumulative interest rate derivatives pricing model is a more suitable, we can conveniently use the model with complex structure and path dependence in the product pricing.

【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.9;F224

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本文編號：1372025