利率期限结构模型及衍生品定价-概率论与数理统计专业论文.docxVIP

I I 摘 要 利率是金融市场上的基础价格变量之一，利率期限结构是研究不同到期期限的 债券收益率问题，在真实的市场中并非只有单一的利率，而是存在不同到期日的债 券的收益率曲线。利率期限结构的研究是各种利率相关的金融衍生品定价和风险管 理的基础。债券市场的快速发展和利率市场化进程的加速，使得利率期限结构的研 究和金融衍生品的定价成为当前金融领域中的理论和实践研究热点。 在绪论中，介绍了论文的研究背景和研究意义，国内外研究进展和成果，特别 对利率期限结构和金融衍生品中的期权进行了较为详尽的综述。 第二章，我们介绍了金融衍生品定价中常用的数学工具和理论方法，以及利率 期限结构理论。 第二章，考虑到利率具有均值回复和波动率的条件异方差问题，建立了动态利 率期限结构AY (3)模型，并研究了AY (3)模型下的债券远期、债券期货及债券期权 等衍生品的定价。 第四章，在AY (3)模型下，利用计价变换和远期测度,得到欧式期权的定价公式 及其对冲策略。 第五章，我们研究了AY (3)模型下支付依赖于原生资产路径的障碍期权的定价， 以及非路径依赖的上限型买权、抵付型买权、局部支付型买权的定价。 第六章总结了本文的主要结果，并提出了还需要更深入研究和拓展的一些问 题。 关键词: 仿射期限结构; AY(3)模型; 映; 风险中性定价; 计价变换; 远期测度; 期权; 奇异期权; 债券期权; 债券期货; 障碍期权; 上限型买权; 抵付型买权; 局 部支付型买权 I II ABSTRACT Interest rate is one of the fundamental price variables in the financial mar- ket.The term structure of interest rates is a study of the bond yields with different maturities.Instead of having a single interest rate,real markets has a yield curve of the different maturity bonds. Research on interest rates term structure is the foun- dation of the derivatives pricing related to interest rate and risk management. With the great advance of interest rate marketization and the rapid development of bond market, study on interest rate term structure and the pricing issues of the derivatives has become hot in the research of the modern financial theories and practices. In the introduction,we introduce the research background and research sig- nificance for the paper, research results and progress in the domestic and for- eign.Especially we make more detailed overviews on the term structure of interest rate and the option of financial derivatives. Chapter 2,we introduce the mathematical tools and methods used in financial derivatives pricing ,and the theory of interest rate term structure . Chapter 3, Considering of the stochastic mean reversion and volatility condi- tional heteroskedastic,we establish the AY(3) model of the dynamic term structure of interest rate. In this case,we deduce the differential equation which zero coupon bond