CAJ | 학술논문

利率风险是当代经济生活中的一个越来越重要话题，债券类衍生品作为规避利率风险的主要工具受到人们的青睐。建立了包含通货膨胀、实际利率的动态利率模型，采用Kalman滤波对模型进行估计的基础上，结合Feynman-Kac定理和特征函数傅立叶变换的方法，对贴现债券的期权、远期、期货及期货期权等衍生品的价格进行研究并给出详细的数值解。研究的方法和结论对中国经济环境下的投资活动和金融产品定价都具有重要的意义。
리솔풍험시당대경제생활중적일개월래월중요화제，채권류연생품작위규피리솔풍험적주요공구수도인문적청래。건립료포함통화팽창、실제리솔적동태리솔모형，채용Kalman려파대모형진행고계적기출상，결합Feynman-Kac정리화특정함수부립협변환적방법，대첩현채권적기권、원기、기화급기화기권등연생품적개격진행연구병급출상세적수치해。연구적방법화결론대중국경제배경하적투자활동화금융산품정개도구유중요적의의。
Interest rate risk is an important issue in modern society and bond derivatives become more and more prevailed in hedge strategies. In this paper, we establish a dynamics model that combines the inflation, real interest rate. Base on the results of Kalman filter, we adopt Feynman-Kac theory and the Fourier inversion of the conditional characteristic function to calculate the price of the discount bond derivatives such as option, forwards futures and futures option. Detail numeric analysis is discussed in this paper. The results reveal significance for investment activities and pricing of the financial derivatives.