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1、碩士學(xué)位論文中國國債市場(chǎng)收益率曲線套利策略YIELDCURVEARBITRAGEINCHINESETREASURYBONDMARKET作者：何博導(dǎo)師：余凡教授上海交通大學(xué)上海高級(jí)金融學(xué)院二○一三年五月萬方數(shù)據(jù)YieldCurveArbitrageinChineseTreasuryBondMarketByHeBoUndertheSupervisionofProfessorYuFanSubmittedinPartialFulfillmentoftheRequirementsFortheDegreeofMasteri
2、nFinanceShanghaiAdvancedInstituteofFinanceShanghaiJiaotongUniversityMay2013萬方數(shù)據(jù)萬方數(shù)據(jù)萬方數(shù)據(jù)ContentsAbstract-----------------------------------------------------------------------------------------i摘要---------------------------------------------------------------
3、------------------------------ii1.Introduction------------------------------------------------------------------------------11.1BackgroundandSignificance---------------------------------------------------11.2LiteratureReview----------------------------------
4、-------------------------------61.2.1InterestRateTermStructureModel-------------------------------------71.2.2EmpiricalStudies---------------------------------------------------------81.2.3EstimationMethods----------------------------------------------------
5、---91.2.4ArbitrageStrategiesandRisk-returnProfileEvaluation------------101.3ContentandMethodology------------------------------------------------------121.4InnovationandLimitation------------------------------------------------------141.4.1Innovation--------
6、---------------------------------------------------------141.4.2Limitation-----------------------------------------------------------------152.ArbitrageStrategyDesign------------------------------------------------------------162.1DataDescription------------
7、-----------------------------------------------------162.2TheoreticalModel---------------------------------------------------------------192.2.1MathematicalSolution--------------------------------------------------192.2.2ParameterEstimation------------------
8、----------------------------------242.3ArbitrageStrategy---------------------------------------------------------------252.3.1HedgeRatio----------------------------------------------------------
