The Pricing Of Stock-linked Structured Products In Quantum Field Theory

With the continuous improvement of global financial market,the fixed income securities play an increasingly prominent role in financial market.On the one hand,the market scale of structured products is increasing,and the varieties and forms of China's stock-linked structured products are increasingly complicated.In 2016,the number of structured products issued by banking financial institutions in China continued to grow.In the context of financial disintermediation and economic slowdown,investors are more willing to invest in structured products with lower risks and more stable returns.On the other hand,the trend of the combination of finance and physics has become more and more obvious in recent years,especially the introduction of quantum field theory when studying the term structure of dynamic interest rates,which can embrace more information of market interest rates.The interest rate risk is one of the most important risks for the stock-linked structured products which are special type of fixed income securities.Studying the term structure of interest rates which accord with the actual situation of the market will promote the theoretical research of financial asset pricing in China.At the same time,it also helps to strengthen the interdisciplinary connection between finance and physics,and promote the research of financial physics.Different from previous studies on the pricing of stock-linked structured products,the innovations of this paper are as follows.This paper aims to study the pricing of stock-linked structured products under the framework of quantum field theory from the perspective of independent traditional financial research.The quantum field theory model can capture all information about the correlation structure between and the input parameters of the model can be directly fitted by the market data,so that the term structure of the interest rate which is more accord with the actual situation of the market can be obtained.Under the framework of quantum field theory,this paper constructs a pricing model of stock-linked structured products.In this paper,the term structure model of interest rates in quantum field theory is studied.And on the basis of comparative analysis of the quantum field theory model and the traditional HJM model,we use the quantum field theory model to analyze the term structure of the interest rates and the discount factor in the actual duration of the stock-linked structured products,and it applies to the pricing of stock-linked structured products.This paper conducts an empirical study on the "wealth structure" products issued by Ping An bank in 2017.Firstly,the parameters of the original HJM model and the quantum field theory model are estimated by using the Levenberg-Marquardt method and general global optimization algorithm,and the fitting effect of the two models on the market data is compared.The empirical results show that the fitting degree of the quantum field theory model to market historical interest rate data is obviously better than the original HJM model,which can better explain the data.Therefore,this paper chooses the quantum field theory model as the interest rate model of the sample product pricing.Secondly,the Monte Carlo simulation method is used to determine the actual duration of the sample product,and the term structure of the interest rate and the discount factor of the sample product within the actual duration are obtained based on the quantum field theory model,then the theoretical value of the sample product is obtained by the cash flow discount method.Finally,this paper analyzes the empirical results and its influencing factors,and puts forward some countermeasures and suggestions.