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

作　　者：孙伟[1] 田芳[1] 

机构地区：[1]哈尔滨工程大学经济管理学院,黑龙江哈尔滨150001

出　　处：《运筹与管理》2015年第5期228-236,共9页Operations Research and Management Science

基　　金：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)

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。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.

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 

分 类 号：F830.91[经济管理—金融学]