The Application Of CIR Model In Chinese Market

Interest rates affect all aspects of economic activity,what's more,there are also many studies about interest rate term structure.Interest rates are divided into short-term interest rates and long-term interest rates.This paper,which is based on previous studies,chooses short-term interest rates as a research object.This passage has four chapters.The first two chapters are the basis of this paper,the latter two chapters are the keystone of this paper.The first chapter mainly introduces the research background and the interest rate theory,and introduces the theory of term structure in the theory of financial interest rate.The second chapter mainly introduces the mathematical knowledge of the research,such as martingale theory and stochastic integration.The third chapter introduces the CIR model in detail,and deduces the for-mula of zero coupon bond price.The fourth chapter introduces the application of the single factor CIR model in the Chinese market,selects the Shanghai interbank interest rate(Shibor)as the research object,uses the historical data to estimate the model,and use the Monte Carlo method to simulate future interest rate movements.