利率动态模型的选择与应用

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1、厦门大学博士学位论文利率动态模型的选择与应用姓名：郑泽星申请学位级别：博士专业：金融学指导教师：郑振龙20060401AbstractInterestrateisoneofmostimportanteconomicsvariance．Formostpeople，Itinfluencestheirinvestmentandconsume．Forfinanceinstitutions，thevarianceofinterestratewillchangethevalueofasset，SOtheriskmanagemen

2、tofinterestrateplaysacriticalrole．Forthegovernment,thevarianceofinterestrateinfluencesthe1"i111ofnationaleconomy．Soweneedagoodmodelwhichcandescripttheinterestratedynamicstheoreticallyandpractically,thenwecalldesigntheinterestrateproduct，priceinterestrateproduce

3、，hedgeinterestrateproductandmanagetheinterestraterisk．n地chapteroneofthispaperreviewstheliteraturefromfouraspects，includinginterestratestaticestimation,interestrateequilibriummodelinterestratearbitragemodelanddomesticresearch．11他chaptertwoofthispaperfirstselects

4、interestratemodelaccordingtothedifficultyofanalyticanalysisandpricing，thenfartherfiltersthemodelsbythestatistictestandout-of-sampleestimation．111eresultofstatistictestacceptsLongstaffandSchwartz(LS，1992)model，butthismodelistoocomplicatedandtimeconsumingtouseinp

5、ractice．AftercomparingFongandVasicek(FV，1992)1Ⅳithone-factormodelbyRMSEmethod,FVmodelisfitforinterestrateestimateofshortterm，andCIRmodelperformsbetterforlongterminterestrate．1f1屺chapterthreeofthispaperdiscusseshowtopricethebondembeddedwithoptionbyfmitedifferenc

6、emethod．ThischapteralsogivestheprogramofpricingbondusingManat,languagebasedonCIR．model．neresultshowsthatthisprogramiscredible．，n把chapterfourappliestheoutcomeoflasttwochaptersinpractice．First,RMBfinanceproductisdiscussedandseriesconclusionisgivenThischapteralsop

7、ricestheoptionembeddedintheRMBproduct．Attheendofthischapter,thecallablebondandputtablebondissuedbyChinadevelopmentbankalepricingusingthemethodofchaptertwo．Theresultshowsthatsomecallablebondsarepricedhighlyandsomecallablebondsarepricedlowly．n圮marketdivergesabout

8、thepriceofcallablebond．11地puttablebondsarepricedwidely．Afterbeingtradedonthesecondarymarket，theunderestimatedegreeofbondpricedecreases．Inconclusion．thispaperdiscussestheone-