利率衍生产品

基于无套利模型的利率衍生产品定价研究

Research on the Pricing of Interest Rate Derivatives Based on No-arbitrage Model

利率衍生产品需求研究&来自中国金融机构的证据

A Study on the Demand for Interest Rate Derivatives : Evidence from Chinese Financial Institutions

因此，以上两种理论对于CMS利率衍生产品定价的研究非常有价值。

Hence , the above two theories for the CMS rate derivative pricing are extremely valuable .

中国金融机构利率衍生产品交易：业务体系的框架性设计

Chinese Financial Institutions Rate Derivative Products Trading off : Operational System Framework Design

利率衍生产品的套期保值研究

Research of Interest Rate Derivative Hedging

近些年来，随着利率衍生产品在国际金融市场上的蓬勃发展，交易规模不断扩大，地位不断提升。

In recent years , With the development of interest rate derivative products ( IRDP ) on the international financial market .

伦敦的外汇交易额占世界总额的五分之二，超过了纽约和东京的总和；它在为顾客定制利率衍生产品的市场上也占有类似的主导地位。

It accounts for two-fifths of global turnover in foreign exchange , more than New York and Tokyo combined , and similarly dominates the market for bespoke interest-rate derivatives .

因此，正确地选择短期利率模型在债券定价以及利率衍生产品的定价中显得至关重要。

This makes the choice of a model for short-term rates crucial to pricing bonds , and pricing interest rate derivatives .

对瞬时利率建立模型，以便在此基础上方便合理地为利率衍生产品定价，以及对冲利率风险，是利率期限结构的中心问题。

It is the key of the term structure of interest rates to build models for instantaneous interest rate as to price interest rate derivatives easily and reasonably and hedge interest rate risk .

此外，本文使用蒙特卡罗模拟方法，将双因子利率期限结构模型用于我国国债定价，希望能够为我国迅速发展的利率衍生产品定价提供一点借鉴作用。

We also use Monte Carlo simulation and this Nonparametric Two Factor Term Structure Model to price Treasury bill in China , and we hope this it could be help in pricing our interest rate derivatives .