Some Studies On The Pricing And Hedging Of The Interest Rate Derivatives

Interest rate derivations are the product of financial innovation. Their function is that they can transfer the investment risk from the risk abhorrer to the risk loving. It will enhance each swapper's effectiveness. The bank and enterprises will face more and more risks with the finance Internationalization and they need the interest rate derivations to manage their risks.Firstly, we give an introduction of the interest rate dynamic structural model and its development, the interest rate derivatives and their market condition systematically in this paper. We begin with the interest rate dynamic structural model and under the affine condition, we study on the pricing. We give the interest rate dynamic structural model and the affine expression of the interest rate derivatives under it's fluctuation rate obeying the general stochastic process .we transform the stochastic partial differential equation that the interest rate derivatives'price satisfies to the differential equation .so it's easy for us to obtain of interest rate derivatives'price and the expression under the promoted condition. And we respectively obtain the affine expression under some classical model and its generalization.Secondly, under the condition of the interest rate obeying the limited Markov chain, we obtain the price of the .We discuss the hedging using the interest rate derivatives'option and give long (short) position's profit and loss formulas of European call option (put option).And we make a demonstration analysis of the hedging about the interest rate derivatives'option by using MATLAB.