Research On Term Structure Of Interest Rates With Derivatives Pricing

The term sturcture models of interest rates measure the relationship among the yields on default-free securities that differ only in their term to maturity. Many derivative securities'pricing and design largely depend on these models, many financial theory and applied researches are related to them, study of the term structure of interest rates is an important work in moderm financial field.The dissertation puts term sturcture of interest rates as research object. After reviewing recent twenty years'evolving process of theories on term sturcture of interest rates,the dissertation analyzes classical models of term structure of interest rates and finally applies them to the pricing of interest rates derivatives.The dissertation first reviews systematically the research on term structure of interest rates, then stresses on the dynamic models of them while introducing the traditional theories of term structure of interest rates, and divides the models into equilibrium models and no-arbitrage models,where the former includes Vasicek(1997) models and Cox-Ingersoll-Ross(1985) models, the latter include Ho-Lee, Hull-White (1990) and Heath-Jarrow-Morton(1992). Finally we put the stochastic jump and HJM model together, study the forward interest model which includes stochastic jump, and establish a term structure of interest rates model: HJM-JUMP model which submits to jump-diffusion process under the HJM frames, and deduces the formula of bond pricing in the fixed-income market.As for the dynamic study of term structure of interest rates, the paper firstly introduces the meanings and the types of interest rates derivatives, then stress on the pricing methods of them. Finnaly the paper studies the pricing problem of convertible bond, and present the modified factor analyzed pricing model.