The Characteristics And Empirical Analysis Of The Real Estate Trust Products’ Yield Fluctuation Based On The Generalized Double Exponential Jump Diffusion Model

With the continuous development of China’s economy, the financial system is more perfect, and the trust industry, particularly the real estate trust, becomes the fourth largest financial pillars after the bank, securities and insurance industry.After five times of rectification actions, the trust industry began to return to its original road. At the same time, the trust industry is facing many problems in the development, especially the significant hidden danger in the risk control of business. Therefore, it has more realistic significance to study and standardize the economic risk of trust business.In recent years, MaYu-chao et al presented a mean-reverting double exponential jump-diffusion model (Vasicek-GDED), studied the market warrants pricing problem, when the volatility is constant, and obtained a more satisfactory pricing result. This paper studies the problem of real estate trust products’ income, when volatility is not constant value. By extending the Vasicek double exponential jump-diffusion model for CIR double exponential jump-diffusion model, we give the characteristics of the returns and risk in China’s real estate trust business.Firstly, based on the facts that yield’s changes of trust products have obvious jump characteristics, we present a mean-reverting double exponential jump-diffusion optimization model:CIR-GDED model. By the method of maximum likelihood estimation, we give the model parameter estimation.Then we do the empirical analysis with the data of the average yield in real estate trust products, and compare the fitting effect between Vasicek-GDED and CIR-GDED. The results show:1) The volatility of return is not a constant value; it is affected by the change of yield.2) The trust products’ revenue has the property of generalized double exponential jump.3) The fitting precision of CIR-GDED on the trust products’ yield is better than Vasicek-GDED’s. In other words, CIR-GDED’s forecast of the real estate trust income is more practical than Vasicek-GDED’s.