跳扩散过程下随机利率模型探究

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1、AbstractThestudyofthetermstructureofinterestrateshasbeenahotresearchtopicinthefieldofmodernfinance‘whenappliedittotheinterestratedynamicbehavior•bondpricingandriskmanagementandsoonuthasgreatsignificanceforallkindsofinvestors‘policymakersandregulators-Basedonthis让hi

2、sarticlehassummarizedthetermstructureofinterestratessystemdevelopmentcoursefromqualitativeresearchtoquantitativeresearch•introducedthetraditionaltheoryofitandthemodernmodelofit•andintrodu-ctedseveralcommonmodelsofmoderntermstructureofinterestrates:theVasicekmodelan

3、dCIRmodel•HoLeemodelandHJMmodeldetailed•thecontentinvolvesthederivationoftermstructureofinterestrates•bondpricingformulaisdeducedandmodeldescriptionoftheadvantagesanddisadvantages‘finallyaccordingtothetime-varyingparametersextendedtheVasicekmodelandCIRmodel*anditse

4、xtensionmodelisrelatedtoitsresearchandanalysis•Inthetraditionaltheoryoftheprocess‘setprioritiesamongbondsofdifferentmaturitiesproductiontheorycansubstituteforeachotherasthestartingpoint•thenestablishanalternativerateisthemarketcompetitionmodel•indicatinginterestrat

5、ioexceedsacertainvalue‘itwillleadtoamonopolyofthebondonthefinancialmarkets•Withthedeepeningoftheresearch•weknowthatasimplediffusionmodelhasbeenunabletoexplainthechangesintheinterestratebehaviorverywell・sothePossionitemintothediffusionmodel，thenthejumpdiffusionmodel

6、hasbeenestablished•thenstudythismodel•itsparameterestimationmethodsisintroducedasakey•Intheempiricalanalysispart・usingtheinter-bankrepo7daysofthefixingratedata(2012.1.4-2014.4.23)•thenrelevantstatisticaldescriptionaboutit•intheprocessofanalysis•foundtheseverefluctu

7、ations‘anditcorrespondstothenmoneyshortageincident11inJune2013•thenhasearnedonthebriefanalysis；thenselectCIR-LJmodel‘usingthelogarithmicmaximumlikelihoodestimationtoestimatethemodelparameters•throughthecomparative*weknowthatjump-diffusionmodelcanfittheactualdatabet

8、teritnotonlyrevealsthecharacteristicsoftheinterestratesmeanreversion•alsorevealtheexternalfactors‘suchasthechangeofthefinancialcrisis•thefinancia