The Pricing Research Of Structured Financial Products With Trigger Type Under The Stochastic Interest Rate

With the rapid economic development, commercial Banks in order to survive in the intense competitive pressure had to create some high yields of products to attract the attention of the investment, such as the ?exibility of structured ?nancial products popular. Affected by the ?nancial crisis in 2008, the interest rates falled quickly, many products expose the negative news such as zero income, however standard chartered bank and HSBC(Hong Kong and Shanghai banking corporation)have several products are not affected, even get higher pro?ts, these products are the trigger type structured ?nancial products. The previous scholars who priced on this kind of products made a lot of outstanding achievements. The term structure of interest rate itself it is not a constant, so in this paper, we study the stochastic interest rate model under the trigger type of structured ?nancial products pricing.In this paper, according to the principle of no arbitrage we mainly use the ?-hedge technology to establish appropriate partial differential equation. We give a single point of trigger and interval trigger interest rate hooking type of ?nancial product pricing. This method is mainly found under the stochastic interest rate model of the ?nancial product suitable for partial differential equations, but the partial differential equation is a two-dimensional problem. In this paper, We change the two-dimensional problem into a one-dimensional problem by the transformation of the unite, to change the complex differential equation into heat conduction equation which is just a simple Cauchy problems and a mixed initial-boundary value problem, ?nally we get the pricing formula of the products.