The Research On The Interest Rate Derivatives Pricing Of The Commercial Banks Based On The Hull-White Model

With the trend of the marketization of the interest rate, all sorts of interest rate derivatives and innovative tools heel, transaction volumes and turnovers multiply expande. In this context, it is very urgent and significant to speed up the research on the pricing of the interest rate derivatives.In this thesis, firstly the author reviews the pricing theory of the interest rate derivatives. Then the author focuses the research on the pricing models of the interest rate derivatives, analyzes different types of the derivatives and the characteristics of them, puts forward the pricing boundaries of them under the pricing framework of the derivatives. After the comparison, the author puts forward it is rational to price the derivatives with the no-arbitrage interest rate dynamic models. For the advantages of the numerical characteristics and stable pricing outcomes, Hull-White model is useful for the pricing of the interest rate derivatives of the commercial banks. Then, the author makes some empirical studies. Research shows that the characteristics of the bond market of inter-bank has two aspects:fistly, with the developments of the breadth and depth of the capital market, the differences between the different pricing models are getting smaller and smaller, the pricing efficiency of the bond market of the inter-bank is getting stronger, secondely, callable bonds are overrated, puttalbe bonds are underestimated, market more favours callable bonds than puttable bonds. Through the sensitivity analysis of the pricing models, the methods to estimate yield curves have much more influences than the parameters of the dynamic interest rates models. The exponential spline is much more excellent than the Svensson model and three cubic spline models with the aspect of the pricing stability.