本文選題：期限結(jié)構(gòu)理論　切入點：短期利率　出處：《中國科學(xué)技術(shù)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：利率影響著經(jīng)濟(jì)活動的方方面面,針對利率期限結(jié)構(gòu)的研究也層出不窮。利率分為短期利率和長期利率,本文選取短期利率作為研究對象,在前人的研究基礎(chǔ)上稍作探討。本文有四章。前兩章是文章的基礎(chǔ),后兩章是文章的重點。第一章主要介紹了研究背景和利率理論,重點介紹了金融利率理論中的期限結(jié)構(gòu)理論。第二章主要介紹了研究所要具備的數(shù)學(xué)知識,如鞅論和隨機(jī)積分。第三章詳細(xì)介紹了 CIR模型,推導(dǎo)了零息債券價格公式。第四章介紹了單因子CIR模型在中國市場的應(yīng)用,選取上海銀行間同業(yè)拆放利率(Shibor)作為研究對象,利用歷史數(shù)據(jù)對模型進(jìn)行參數(shù)估計,并使用蒙特卡洛方法對未來利率走勢進(jìn)行模擬。
[Abstract]:Interest rate affects all aspects of economic activity, and the research on term structure of interest rate is endless. Interest rate is divided into short-term interest rate and long-term interest rate. There are four chapters in this paper. The first two chapters are the basis of the article, the last two chapters are the focus of the article. The first chapter mainly introduces the research background and the interest rate theory. The term structure theory of financial interest rate theory is introduced in detail. Chapter two mainly introduces the mathematical knowledge of the research, such as martingale theory and stochastic integration. Chapter 3 introduces the CIR model in detail. In Chapter 4th, the application of single factor CIR model in China market is introduced, and Shanghai Interbank offered rate is selected as the research object. The model is estimated by historical data. Monte Carlo method is used to simulate the trend of interest rate in the future.
【學(xué)位授予單位】：中國科學(xué)技術(shù)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F224;F832.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 謝赤,吳雄偉;基于Vasicek和CIR模型中的中國貨幣市場利率行為實證分析[J];中國管理科學(xué);2002年03期

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本文編號：1631431