浅析固定收益证券定价

《浅析固定收益证券定价》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、葛幸元浅析固定收益证券定价学年论文（研究生）中文标题浅析固定收益证券定价英文标题Analysesfixedincomesecuritiespricing学生姓名葛幸元学院经济专业金融专业硕士目录摘要··········································································226葛幸元浅析固定收益证券定价Abstract······································································31.前言····

2、··································································42.贴现模型·····································································62.1定价一般原理·····························································62.1.1现金流的估计···················································

3、········62.1.2利率的选择·····························································62.1.3现金流的贴现···························································72.2息票利率、贴现率与债券价格之间的关系·····································82.3无套利定价模型·······················································

4、····92.4小结····································································113.折扣因子模型································································113.1信用价差与非国债定价····················································113.2信用价差模型分析············································

5、············133.2.1信用价差模型所包含的假设··············································133.2.2信用价差模型的缺陷····················································153.3折扣因子模型····························································1626葛幸元浅析固定收益证券定价3.3.1总体思路··································

6、····························163.3.2影响因素的确定························································163.3.3各个因素的权重的确定··················································173.3.4计算折扣因子··························································173.3.5折扣因子模型的运用························

7、····························183.4小结····································································193.二叉树模型··································································214.1二叉树模型概述··························································214.2波动率和标准差················

8、··········································234.3确定债券在节点处的价值··········