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《三因素仿射利率期限結(jié)構(gòu)模型與其應(yīng)用的的研究》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在學(xué)術(shù)論文-天天文庫(kù)。
1、東北大學(xué)碩士學(xué)位論文AbstractAThree．FactorAffineTermStructureModelofInterestRatesanditsApplicationAbstractTheproblemofthetermstructureofinterestratesisabouttherelationbetweeninstantaneousratesandmaturities．Itplaysallimportantroleinbondspricing，analysisandriskmanagement．Withthei
2、ssuancevolumeofgovernmentbondsincreasinginrecentyears，therehasachievedagreatdealofdevelopmentsinChinesebondmarkets．Thenthetasktoestablishandstudythetermstructureofinterestratesinourcountrybecomesmoreandmoreimportant．Inthispaper,athree-factoraffinetermstructureofinter
3、estrateshasbeenestablishedtoanalyzedomesticbondsmarketsusingdatafromShanghaistockexchange．Themaintaskisthat．(1)Thepreviousresearchesonthetermstructureofinterestrateshavebeensummarizedandreviewed．It’spointedthatthetheoryofaffinetermstructuremodelsofinterestratesisahot
4、topicUptonow．(2)Thetheoriesoftermstructurehavebeenintroduced，includingstatictermstructureanddynamictermstructure．Theemphasisisputonthetheoryofaffinemodels．(3)Domesticstatictermstructurehasbeenestablished．B·formsplinemethodisused，differentfromothermethodslikeNelson—Si
5、egelmethodusedbyotherscholars，becausetheliteratureshowsthatB·formsplinemethodissuperiortoothermethods．(4)Domesticdynamictermstructurehasbeenestablished．Usingtheinstantaneousinterestratesforoneyear,threeyears，fiveyears，sevenyearsandtenyearscomputedfromthestatictermstm
6、ctureaboveandtheKalmanfilterandmaximumlikelihoodmethods，athree．factoraffinemodelofourcountryhasbeenestablished．Theresultssuggestthattheestimatedparametersfromthethree—factoraffinemodelfitsmostlythepropertiesofrealinterestratesbehavior,butgreatere玎0rsexistbetweenthees
7、timatedtermstructureandimpliedtermstructure．Keywords：thetermstructureofinterestrates；three—factoraffinemodel；B-formsplineKalmanfilter—nl-獨(dú)創(chuàng)性聲明本人聲明，所呈交的學(xué)位論文是在導(dǎo)師的指導(dǎo)下完成的。論文中取得的研究成果除加以標(biāo)注和致謝的地方外，不包含其他人己經(jīng)發(fā)表或撰寫(xiě)過(guò)的研究成果，也不包括本人為獲得其他學(xué)位而使用過(guò)的材料。與我一同工作的同志對(duì)本研究所做的任何貢獻(xiàn)均己在論文中作了明確的說(shuō)明并表示
8、謝意。學(xué)位論文作者簽名：馮央菇日期：學(xué)位論文版權(quán)使用授權(quán)書(shū)本學(xué)位論文作者和指導(dǎo)教師完全了解東北大學(xué)有關(guān)保留、使用學(xué)位論文的規(guī)定：即學(xué)校有權(quán)保留并向國(guó)家有關(guān)部門或機(jī)構(gòu)送交論文的復(fù)印件和磁盤，允許論文被查閱和借閱。本人同意東北大學(xué)可以將學(xué)位論文的全部或部分內(nèi)容編入有
