基于LIBOR市场模型的区间累积型利率衍生品定价分析

发布时间：2018-01-03 02:37

本文关键词：基于LIBOR市场模型的区间累积型利率衍生品定价分析　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：利率模型在对利率衍生品定价的过程中起着非常重要的作用，在国内市场，更多的利率衍生品嵌套在结构式产品中，使这些产品具有复杂的结构。LIBOR市场模型因其完善的体系和与实际市场的紧密联系性而被广泛地应用在对此类具有复杂结构且路径依赖的结构式产品定价中。论文重点讨论了在LIBOR市场模型下区间累积型利率衍生品的定价过程。首先以汇丰银行于2010年末发行的一款挂钩美元LIBOR利率的区间累积型结构式理财产品为研究对象，讨论了在LIBOR市场模型下区间累积型利率衍生品的定价过程。将模型得到的产品理论价值和市场价格相比，可以看出理论价值略高于市场价格，发行商属于溢价发行，但是如果考虑到国内资本管制、发行商的揽储目的以及流动性溢价、通货膨胀溢价和信用差价因素，则发行商溢价发行该产品较为符合当时实际情况，模型的定价结果基本符合市场报价情况。在此基础上，论文进而设计一款较为适合国内市场的挂钩SHIBOR利率以及交换利率的双区间累积型产品并通过LIBOR市场模型对此进行了合理定价。通过实证分析，，论文认为LIBOR市场模型并结合蒙特卡洛模拟是针对区间累积型利率衍生品进行定价较为合适的一种模型，我们可以较为方便地应用该模型对这种具有复杂结构且路径依赖的产品进行定价。
[Abstract]:Interest rate model plays a very important role in the process of interest rate derivatives pricing, in the domestic market, more interest rate derivatives embedded in the structure of the product, so that the product has a market structure of.LIBOR complex model because of its perfect system and close contact with the actual market and is widely used in such a the pricing of structured products rely on complex structure and path.
This paper mainly discusses the pricing process in LIBOR market model under interval cumulative interest rate derivatives. First of all to HSBC in the interval at the end of 2010 issued a pegged rate cumulative LIBOR type financial products as the research object, discusses the pricing process of cumulative interest rate derivatives in the LIBOR market model region.
Compared to model obtained product theory value and market price, we can see that the theoretical value is slightly higher than the market price, the issuer is issued at a premium, but if taking into account the domestic capital controls, the publisher's Lanchu goal as well as the liquidity premium, premium inflation and credit spread factors, then issue the vendor of the product is consistent with the actual premium at the time the pricing model, results are consistent with the market price.
On this basis, the paper further designs a dual interval cumulative product which is suitable for the domestic market to hook SHIBOR interest rate and exchange rate, and reasonably pricing it through the LIBOR market model.
Through empirical analysis, we think that LIBOR market model and Monte Carlo simulation is for the interval cumulative interest rate derivatives pricing model is a more suitable, we can conveniently use the model with complex structure and path dependence in the product pricing.

【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.9;F224

【参考文献】