银行结构化理财产品定价分析

发布时间：2018-04-20 09:09

本文选题：结构化产品 + 蒙特卡罗模拟　；参考：《清华大学》2013年硕士论文

【摘要】：银行结构化理财产品，实际上是将固定收益证券和金融衍生品融为一体的新型金融产品，其主要特征是其收益一部分固定，另一部分由挂钩标的资产的表现所决定。结构性理财产品按挂钩标的资产的类型可分为股票挂钩型、商品挂钩型、汇率挂钩型和利率挂钩型。结构化产品在国内发展时间还很短，收益结构又较为复杂，投资者往往很难判断其真实的投资价值。为此，本文对于银行结构化理财产品的定价进行研究，其定价的理论基础来源于对金融衍生品定价。在研究中，，主要采用蒙特卡罗模拟方法对其定价。进一步，为了提高定价的效率，引入了几种常见的蒙特卡罗方差缩减技术（对偶变量技术，控制变量技术，重要抽样技术，分层抽样技术，拉丁超立方体抽样技术）和布朗运动点生成方法（布朗桥构造，主成分分析构造），优化了模拟效率，改进了定价过程。我们得到结论，在嵌入亚式期权的结构化理财产品定价中，控制变量法效率最高。最后本文结合了实际案例，对国内现在常见的结构化理财产品进行了分析，发现其中有的具有较高的投资价值，有的投资价值并不看好。并对于比较复杂的挂钩利率型结构化产品，引入了BDT模型，利用二叉树方法进行定价，取得了较好的效果。
[Abstract]:Bank structured financial products are in fact a new financial product which combines fixed income securities and financial derivatives. Its main characteristic is that its income is fixed and the other part is determined by the performance of the underlying assets. Structured financial products can be classified into stock pegging, commodity pegging, exchange rate pegging and interest rate pegging according to the types of underlying assets. Structured products in the domestic development time is also very short, the income structure is more complex, investors often find it difficult to judge its true investment value. Therefore, this paper studies the pricing of structured banking products, the theoretical basis of which comes from the pricing of financial derivatives. In the research, Monte Carlo simulation method is mainly used to price it. Furthermore, in order to improve pricing efficiency, several common Monte Carlo variance reduction techniques (dual variable technique, control variable technique, important sampling technique, stratified sampling technique, etc.) are introduced. Latin hypercube sampling method and Brownian motion point generation method (Brownian Bridge structure, Principal component Analysis structure), optimize the efficiency of simulation, and improve the pricing process. We conclude that the control variable method is the most efficient in the pricing of structured financial products embedded in Asian options. Finally, combining with the actual cases, this paper analyzes the common structured financial products in China, and finds that some of them have higher investment value, and some of them are not optimistic. The BDT model is introduced and the binary tree method is used to price the more complex structured products with interest rate hooks, and good results are obtained.
【学位授予单位】：清华大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.2;F224

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