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Bond Pricing Theory Based On The Model Of Dynamic Multi-factor Interest Rates And Interest Rate Period Of The Structure Model

Posted on:2009-03-16Degree:MasterType:Thesis
Country:ChinaCandidate:Y L MaFull Text:PDF
GTID:2199360245478914Subject:Finance
Abstract/Summary:PDF Full Text Request
The Purpose of this paper is to find the method of how to choose the dynamic interest rate model to price the derivative products of interest rate. We mainly study the bond pricing theory and term structure of interest rates model in China's market interest rate, based on CIR model and multi-factor dynamic interest rate model.This paper mainly consists of the following work. In chapter 1, we introduce the background and significance. In chapter 2, we summarize the dynamic interest rate models that have been put forward, analyzing the relationships among the dynamic interest rate model,bond pricing theory and term structure of interest rates. In chapter 3, we study statistical characters of CIR model to make preparations for the following chapter . In chapter 4, we put forward the kernel model, which is multi-factor dynamic interest rate model, based on CIR model. By applying this model to the bond repurchase rate market, we can compare the fitting pictures between this model and the classical CIR model, and then we conclude multi-factor dynamic interest rate model is more suitable for the dynamic interest rate of our country. In chapter 5, we apply the bond pricing theory to the multi-factor dynamic interest rate model and classical CIR model. We discuss it by using martingle pricing method and no arbitrage pricing method. Finally, we can derive the conclusions about the bond pricing theory and the interest rate term structure model based on the classic single-factor CIR model and multiple factors interest rate dynamic model , then we make comparisons between these two models, analyzing the advantages and disadvantages of them. Finally we can draw conclusions that in China's market interest rate how to choose the suitable model of interest rate and price the corresponding products derived from interest rate.
Keywords/Search Tags:CIR model, multi-factor dynamic interest rate model, bond pricing theory, term structure of interest rates, efficient method of moments estimation
PDF Full Text Request
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