利率产品定价与利率期限结构关系分析  

An Analysis of the Relationship between the Pricing of Interest Rate Instrument and the Term Structure of Interest Rates

作　　者：闵晓平[1] 田澎[1] 

机构地区：[1]上海交通大学管理学院

出　　处：《数量经济技术经济研究》2005年第2期157-160,F003,共5页Journal of Quantitative & Technological Economics

摘　　要：利率期限结构是利率产品定价的基本工具。在对横截面利率期限结构和利率期限结构的动力学模型进行论述的基础上,本文对普通债券和利率衍生产品定价的内在机理进行了阐述,并在胡志强、萧毅海《债券定价与即期利率、远期利率关系分析》一文分析的基础上,进行了更深入地研究,并提出了我们的观点。The term structure of interest rates is a fundamental tool for the pricing of interest rate instrument. Based on the dissertation of cross-section term structure of interest rates and dynamics of interest rate term structure, this paper illuminates the pricing of interest rate instruments and simultaneously discusses with Hu Zhiqiang and Xiao Yihai about their paper,an analysis of the relationship of the pricing of bonds and spot rates and forward rates.

关 键 词：利率 期限结构 定价 

分 类 号：F810.39[经济管理—财政学]