基于多因子仿射利率期限结构模型的国债定价  

A Multi-Factor Affine Term Structure Model of Interest Rates for Pricing Treasury Bonds

作　　者：周荣喜[1] 王晓光[1] 

机构地区：[1]北京化工大学经济管理学院,北京100029

出　　处：《中国管理科学》2011年第4期26-30,共5页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(70701003);国家大学生创新性实验计划立项项目(09100127;1101001021);中央高校基本科研业务费专项资金(ZZ0915);北京化工大学学科建设项目(2010096)

摘　　要：本文构建了具有平方根扩散特征的三因子仿射利率期限结构模型,给出了基于卡尔曼滤波法的模型参数估计过程,利用蒙特卡罗模拟对我国国债进行定价预测,并与Longstaff-Schwartz模型、Vasicek模型、Cox-Inger-soll-Ross模型的定价效果进行实证比较。结果表明多因子模型要优于单因子模型,双因子模型要略优于三因子模型,从而为我国国债合理定价提供技术支持。The three-factor affine term structure models with square-root diffusion process are developed in this paper,and the Kalman filter method to estimate the parameters of the model is given.So the prices of treasury bonds are analyzed by Monte Carlo stimulation.The pricing results of Chinese treasury bonds are compared with Longstaff-Schwartz model,Vasicek model and Cox-Ingersoll-Ross model.The results show that multi-factor models are superior to the single factor,and the two-factor affine model has the higher precision than three-factor model.It can provide the technology support for effectively pricing the treasury bonds in China.

关 键 词：多因子仿射利率模型 卡尔曼滤波 蒙特卡罗模拟 国债定价 

分 类 号：F830[经济管理—金融学]