CIR模型在中国市场的应用

发布时间：2018-03-18 21:44

本文选题：期限结构理论　切入点：短期利率　出处：《中国科学技术大学》2017年硕士论文　论文类型：学位论文

【摘要】：利率影响着经济活动的方方面面,针对利率期限结构的研究也层出不穷。利率分为短期利率和长期利率,本文选取短期利率作为研究对象,在前人的研究基础上稍作探讨。本文有四章。前两章是文章的基础,后两章是文章的重点。第一章主要介绍了研究背景和利率理论,重点介绍了金融利率理论中的期限结构理论。第二章主要介绍了研究所要具备的数学知识,如鞅论和随机积分。第三章详细介绍了 CIR模型,推导了零息债券价格公式。第四章介绍了单因子CIR模型在中国市场的应用,选取上海银行间同业拆放利率(Shibor)作为研究对象,利用历史数据对模型进行参数估计,并使用蒙特卡洛方法对未来利率走势进行模拟。
[Abstract]:Interest rate affects all aspects of economic activity, and the research on term structure of interest rate is endless. Interest rate is divided into short-term interest rate and long-term interest rate. There are four chapters in this paper. The first two chapters are the basis of the article, the last two chapters are the focus of the article. The first chapter mainly introduces the research background and the interest rate theory. The term structure theory of financial interest rate theory is introduced in detail. Chapter two mainly introduces the mathematical knowledge of the research, such as martingale theory and stochastic integration. Chapter 3 introduces the CIR model in detail. In Chapter 4th, the application of single factor CIR model in China market is introduced, and Shanghai Interbank offered rate is selected as the research object. The model is estimated by historical data. Monte Carlo method is used to simulate the trend of interest rate in the future.
【学位授予单位】：中国科学技术大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F832.5

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