Pricing Of Interest Rate Linked Structured Products Based On Quantum Field Theory

With the further reduction of the benchmark interest rate in China,investors have turned to invest in structured products with higher investment returns,which makes structured products become a new hot spot in the "post interest reduction era".Among them,interest rate linked structured products occupy a larger share in the market,but investors and financial institutions is still a lack of understanding of the design and pricing of these new interest rate derivatives.Therefore,how to make reasonable pricing of interest rate linked structured products is a very important topic.The pricing of interest rate structured products is closely related to the term structure of interest rates,which makes it very important to explore a more realistic model of the term structure of interest rates.The quantum field theory model is the general name of the HJM model under quantum field theory and the LIBOR market model under quantum field theory,which is generalized from the non-arbitrage model.Compared with the traditional interest rate term structure model,the quantum field theory describes the dynamics of forward interest rate as a two-dimensional Gauss quantum field,and considers the correlation between forward interest rates in two directions of calendar time and future time.Based on this,first,this paper makes a comparative analysis of the LIBOR market model under the quantum field theory and the standard LIBOR market model under the framework of quantum financial theory.Then,using the LIBOR market model under the quantum field theory to determine the term structure of the linked interest rate of the product,the pricing model of the interest rate linked structured products based on quantum field theory is constructed,and a representative sample of the sample product is selected for empirical research.Finally,according to the LIBOR market model under the quantum field theory and the standard LIBOR market model,the estimation results of the product linked interest rate and the sample product pricing results are analyzed,and the suggestions are put forward according to the results of the empirical analysis.According to the study of interest rate linked structured products,based on the pricing model of interest rate linked structured products based on quantum field theory,we get the pricing formula of interest rate linked structured products under quantum field theory.The empirical results show that the theoretical value of the sample product is slightly higher than the market price.Compared with the standard LIBOR market model,the LIBOR market model under quantum field theory is more practical and efficient than the standard market model.It is different from the previous scholars that use the dynamic interest rate term structure model to determine the term structure of the linked in interest rate linked structured products.The innovation point of this paper is to use the LIBOR market model under quantum field theory to determine the term structure of the linked interest rate of the product,and apply it to the pricing model of the interest rate linked structured products based on quantum field theory.