【摘要】 现代利率研究中有许多理论和模型对利率期限结构问题进行探索,但是在中国还没有一种公认的理论或方法能够完全解决中国债券市场利率期限结构问题。本文尝试寻找一种更多的利用市场即时信息的定价方法对利率期限结构进行研究,应用三叉树模拟技术构建Hull-White模型,并对当前中国债券市场上几种常用利率进行比较分析。研究发现银行间质押式回购收益率具有较好的动态运动性质,比样本国债和政策性银行金融债更适宜作为短期金融产品定价的基础。更多还原

【Abstract】 There are many theories and models to explore interest rate and interest risk management.But there is still no practical solution in China.This paper tries to find a way to study the interest term structure of Chinese bond market with more market information.It focuses on the application of the tree model method and builds a Hull-White model to simulate the dynamic term structure.The result shows the buyback rate in the interbank market is more feasible for the valuation of short-term financial instruments in China.更多还原