浅析固定收益证券定价

葛幸元浅析固定收益证券定价1学年论文（研究生）中文标题浅析固定收益证券定价英文标题Analysesfixedincomesecuritiespricing学生姓名葛幸元学院经济专业金融专业硕士目录摘要··········································································2Abstract······································································31.前言······································································4葛幸元浅析固定收益证券定价22.贴现模型·····································································62.1定价一般原理·····························································62.1.1现金流的估计···························································62.1.2利率的选择·····························································62.1.3现金流的贴现···························································72.2息票利率、贴现率与债券价格之间的关系·····································82.3无套利定价模型···························································92.4小结····································································113.折扣因子模型································································113.1信用价差与非国债定价····················································113.2信用价差模型分析························································133.2.1信用价差模型所包含的假设··············································133.2.2信用价差模型的缺陷····················································153.3折扣因子模型····························································163.3.1总体思路······························································163.3.2影响因素的确定························································163.3.3各个因素的权重的确定··················································173.3.4计算折扣因子··························································173.3.5折扣因子模型的运用····················································183.4小结····································································194.二叉树模型··································································214.1二叉树模型概述··························································214.2波动率和标准差··························································234.3确定债券在节点处的价值··················································234.4构建利率二叉树··························································244.5为无期权债券定价························································274.6为可赎回债券定价························································284.7向其他内嵌期权的延伸····················································304.8小结····································································305.对二叉树模型的简化··························································315.1风险中性概率····························································315.2小结····································································326.两个模型针对不同期限债券定价的优劣··········································336.1两个模型的共同点························································336.2两个模型的不同点························································336.3两个模型针对不同期限债券定价的实证研究··································346.4小结····································································367.参考文献····································································38浅析固定收益证券定价作者中文名：葛幸元指导教师：高宏霞（兰州大学经济学院甘肃兰州730000）葛幸元浅析固定收益证券定价3在固定收益证券定价中经常使用的两种最基本的模式：贴现模型和二叉树模型。贴现模型是大量的金融资产定价的基础上，有固定到期日和收益债券的定价是非常重要的;利率的二叉树模型提供了一个对未来即期汇率的估计方法，这种方法适用于在很长一段投资金融产品定价，并列入股权及期权债券的理论是适用的。本文讨论了当前的定价模式，信用利差模型的基础上，本文进行了改进，利率二叉树模型没有风险概率计算简化。在贴现模型的贴现因子模型，估计未来短期的宏观经济环境和债券发行人的业务条件改变，以确定折现因子，它是用来取代常用的信贷息差的折现率。在二叉树模型的利率，不同的理论计算方法不同，期限结构，利率风险中性的假设基础上的，即获得率的变化而变化的价值计算的数学期望等于债券的未来价值。此外，不同的债券投资期限长，利率波动规律有一个鲜明的特点，两个在不同时期债券定价模型，也有各自的优点和局限性，。本文也将适用于他们的情况分析。理论分析结果表明，只要合理选择债券价格的影响因素，判断是准确的，使用的贴现因子模型比加上一个固定的信用利差的折扣率更具有优势;简化计算公式来计算风险中性利率上升和原来的概率计算公式的结果无明显差异，而贴现模型考虑的因素很多，与太多的限制，因此更适合短期债券的定价。关键词：贴现模型，二叉树模型,定价AnalysesfixedincomesecuritiespricingTheauthoreverybodyelseGeXingyuanteachers:GaoHongXia(lanzhouuniversityschoolofeconomicsgansulanzhou730000)Inthispaper,twobasicmodels,DividendDiscountModel(DDM)andBinomialOptionTreeModel(BOTM)thatarefrequentlyappliedinthepricingprocessoffixedincomesecuritiesare葛幸元浅析固定收益证券定价4introduced.DDMisthepricingbasisofmanyfinancialassetsandplaysanessentialroleinbondspricingthatoftenimplyafixedmaturityandincome.BOTMprovidesamethodtoestimatethefutureinstantaneousinterestratethatismoresuitabletopricethelong-terminvestmentfinancialproductsandcanbetheoreticallyappliedtobothembeddedandnon-embeddedoptionbonds.Onthebasisofdiscussingtheexistingpricingmodels,thispaperwillsuggestimprovementsforCreditSpreadModelandsimplificationforthecalculatingprocessoftherisk-neutralprobabilityinBOTM.DiscountFactorModel(DFM)isintroducedintoDDM.Bypredictingthefutureshort-termchangesofmacro-economicenvironmentandoperationofbondissuers,wecandeterminethediscountfactorsthatwillreplacethecommonlyusedcreditspread.DifferentmethodsareusedindifferenttheoriesintermsofthecalculationofinterstaterateinBOTM.However,thispaperwilladopttheRiskNeutralAssumptioninthetermstructureofinterestrate,thatis,thefuturevalueofthederivativesisequaltothemathematicalexpectationofthechangedvaluesduetothechangesofthefutureinterestrate.Inaddition,thevolatilityofinterestratehasdifferentcharacteristicsoflong