随机波动率LIBOR模型及其结构性存款定价:理论估计与蒙特卡罗模拟

发布时间：2018-05-01 03:26

本文选题：LIBOR市场模型 + 随机波动率　；参考：《系统工程理论与实践》2013年04期

【摘要】：LIBOR市场利率已经在金融资产定价和风险度量中发挥着越来越重要的作用,而以其为标的利率的外汇结构性存款也得到了广泛应用.因此,对LIBOR利率动态过程及其结构性存款定价进行有效理论估计和模拟计算则显得尤为重要.本文首先在标准市场模型中加入Heston随机波动率过程,建立随机波动率过程驱动的新型LIBOR市场模型;其次,运用Black逆推参数校正方法和MCMC参数估计方法对该LIBOR利率市场模型中的局部波动率和随机波动率过程中的参数进行校正和估计;再次,基于最优基本函数改进的LSM方法对可赎回外汇结构性存款定价进行模拟计算;最后是实证分析.研究结论认为:在单因子LIBOR利率市场模型基础上引入随机波动率过程,则可大大地提高利率模型的解释力;基于最优基本函数改进的LSM定价方法所得结果更接近于实际利率下所求理论价值.
[Abstract]:LIBOR market interest rate has played a more and more important role in financial asset pricing and risk measurement, and foreign exchange structured deposits with interest rate as its target have been widely used. Therefore, it is very important to estimate and simulate the dynamic process of LIBOR interest rate and its structural deposit pricing. In this paper, we first add Heston stochastic volatility process to the standard market model, and establish a new LIBOR market model driven by stochastic volatility process. Using Black inverse parameter correction method and MCMC parameter estimation method to correct and estimate the local volatility and random volatility in the LIBOR interest rate market model. Thirdly, The redeemable structured foreign exchange deposit pricing is simulated and calculated based on the improved LSM method of the optimal basic function. Finally, the empirical analysis is carried out. It is concluded that the explanatory power of the interest rate model can be greatly improved by introducing the stochastic volatility process on the basis of the single-factor LIBOR interest rate market model. The results obtained by the improved LSM pricing method based on the optimal basic function are closer to the theoretical value of the real interest rate.
【作者单位】：浙江大学城市学院;中国邮政储蓄银行浙江省分行;
【基金】：国家自然科学基金(71271190) 教育部人文社会科学基金(11YJA790103)
【分类号】：F820;F224

【共引文献】