随机利率模型及其实证分析

发布时间：2018-05-27 17:10

本文选题：利息理论 + 利率期限结构　；参考：《复旦大学》2013年硕士论文

【摘要】：利率问题一直是资产定价和风险管理的重要问题,利率的相关理论主要有传统的金融理论和现代的数学理论,后者又分为静态的利率期限结构和动态的随机利率模型理论.对于不同的利率市场,不同的模型有着不同的应用,所以它是金融领域的重点研究问题. 文章首先梳理了利率的相关理论,介绍了利率市场和利率的数学理论,介绍了各种模型及其数学性质和实务方法.文章对Shibor利率做了实证分析,除了常见的Vasicek模型和CIR模型之外,还讨论了指数Vasicek模型,得到了相关结果,找出了适用于Shibor利率的短期利率模型.此外还讨论了折现因子和风险中性定价的联系. 文章的主要意义在于讨论了在中国金融市场中有着基础性地位的Shibor利率,找出了适用于Shibor利率的短期利率模型.而之前的实证型文章大多注意在国债利率上.
[Abstract]:The interest rate problem has always been an important issue in asset pricing and risk management. The related theories of interest rate mainly include traditional financial theory and modern mathematical theory. The latter is divided into static term structure of interest rate and dynamic stochastic interest rate model theory. For different interest rate markets, different models have different applications, so it is a key issue in the field of finance. In this paper, the relevant theories of interest rate are reviewed, the interest rate market and the mathematical theory of interest rate are introduced, and various models, their mathematical properties and practical methods are introduced. This paper makes an empirical analysis on Shibor interest rate. Besides the common Vasicek model and CIR model, it also discusses the exponential Vasicek model, obtains the relevant results, and finds out the short-term interest rate model suitable for Shibor interest rate. In addition, the relationship between discount factor and risk neutral pricing is discussed. The main significance of this paper is to discuss the Shibor interest rate, which has a basic position in the Chinese financial market, and to find out the short-term interest rate model suitable for the Shibor interest rate. Previous empirical articles have mostly focused on interest rates on government bonds.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.5

【共引文献】