基于无套利模型的人民币利率互换定价

doi:10.12005/orms.2015.0181

运筹与管理 ›› 2015, Vol. 24 ›› Issue (5): 228-236.DOI: 10.12005/orms.2015.0181

基于无套利模型的人民币利率互换定价

孙伟,田芳

哈尔滨工程大学经济管理学院,黑龙江哈尔滨150001

收稿日期:2012-12-05 出版日期:2015-10-12
作者简介:孙伟(1973-),男,山东掖县人,博士,教授,研究方向为金融工程与风险管理;田芳(1989-),女,安徽阜阳人,硕士研究生,研究方向为金融工程与风险管理。
基金资助:
国家自然科学基金资助项目(71173059,71372020);教育部人文社会科学研究青年基金项目(12YJC790168);哈尔滨工程大学中央高校基本科研业务费专项资金资助项目(HEUCF130908)

Pricing of Interest Rate Swap Based on No-arbitrage Model

SUN Wei, TIAN Fang

School of Economics and Management, Harbin Engineering University, Harbin 150001, China

Received:2012-12-05 Online:2015-10-12

摘要/Abstract

摘要： 基于两种代表性无套利模型——Black-Derman-Toy(BDT)和Hull-White模型,构建考虑单向违约风险的人民币利率互换定价模型。运用这两种定价模型对1年期3MSHIBOR-IRS进行定价,对两种定价模型的定价结果进行敏感性分析。结果表明,两种定价模型表现出定价偏离的一致性,基于BDT模型比基于Hull-White模型的定价结果与报价的差距更小。

关键词: 利率互换定价, 无套利模型, 单向违约风险, 敏感性分析

Abstract: Pricing models of interest rate swap(IRS)with unilateral default risk based on two no-arbitrage models BDT and Hull-White are constructed, and then these two models are used to price 3MSHIBOR-IRS for one year, and at last make a sensitivity analysis of the pricing results of the two models. The results show that two pricing models exhibit the consistency of pricing deviation and BDT-based model has smaller offer gap than Hull-White-based model.

Key words: pricing of IRS, no-arbitrage model, unilateral default risk, sensitivity analysis

中图分类号:

F830.91

孙伟,田芳. 基于无套利模型的人民币利率互换定价[J]. 运筹与管理, 2015, 24(5): 228-236.

SUN Wei, TIAN Fang. Pricing of Interest Rate Swap Based on No-arbitrage Model[J]. Operations Research and Management Science, 2015, 24(5): 228-236.

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基于无套利模型的人民币利率互换定价

Pricing of Interest Rate Swap Based on No-arbitrage Model

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