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

  更多相關(guān)文章： LIBOR市場(chǎng)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(duì)利率衍生品定價(jià)的過(guò)程中起著非常重要的作用，在國(guó)內(nèi)市場(chǎng)，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(chǎng)模型因其完善的體系和與實(shí)際市場(chǎng)的緊密聯(lián)系性而被廣泛地應(yīng)用在對(duì)此類(lèi)具有復(fù)雜結(jié)構(gòu)且路徑依賴(lài)的結(jié)構(gòu)式產(chǎn)品定價(jià)中。 論文重點(diǎn)討論了在LIBOR市場(chǎng)模型下區(qū)間累積型利率衍生品的定價(jià)過(guò)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(cái)產(chǎn)品為研究對(duì)象，討論了在LIBOR市場(chǎng)模型下區(qū)間累積型利率衍生品的定價(jià)過(guò)程。 將模型得到的產(chǎn)品理論價(jià)值和市場(chǎng)價(jià)格相比，可以看出理論價(jià)值略高于市場(chǎng)價(jià)格，發(fā)行商屬于溢價(jià)發(fā)行，但是如果考慮到國(guó)內(nèi)資本管制、發(fā)行商的攬儲(chǔ)目的以及流動(dòng)性溢價(jià)、通貨膨脹溢價(jià)和信用差價(jià)因素，則發(fā)行商溢價(jià)發(fā)行該產(chǎn)品較為符合當(dāng)時(shí)實(shí)際情況，模型的定價(jià)結(jié)果基本符合市場(chǎng)報(bào)價(jià)情況。 在此基礎(chǔ)上，論文進(jìn)而設(shè)計(jì)一款較為適合國(guó)內(nèi)市場(chǎng)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(guò)LIBOR市場(chǎng)模型對(duì)此進(jìn)行了合理定價(jià)。 通過(guò)實(shí)證分析，，論文認(rèn)為L(zhǎng)IBOR市場(chǎng)模型并結(jié)合蒙特卡洛模擬是針對(duì)區(qū)間累積型利率衍生品進(jìn)行定價(jià)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(duì)這種具有復(fù)雜結(jié)構(gòu)且路徑依賴(lài)的產(chǎn)品進(jìn)行定價(jià)。
[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(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F830.9;F224

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本文編號(hào)：1372025