Hull-White利率模型仿真与债券估值

陈 勇; 邓 坤

Hull-White利率模型仿真与债券估值

引用本文：陈勇，邓坤.Hull-White利率模型仿真与债券估值[J].经济数学,2015,(4):12-15

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作者	单位
陈勇，邓坤	（湖南大学金融与统计学院，湖南长沙 410079）

中文摘要:应用Vasicek模型和Nelson-Siegel模型估计Hull-White利率模型的参数，运用蒙特卡洛方法模拟利率路径，根据利率路径估计中国国债的价值，并进行敏感性分析.结果表明，运用蒙特卡洛方法模拟Hull-White利率模型，具有计算简单和运算速度快的特点，且债券估值的结果较为精确.该方法可广泛地应用于债券及其衍生品的定价分析.

中文关键词:利率期限结构 Hull-White模型蒙特卡洛

Simulation of Hull-White Model and Bond Pricin

Abstract:This paper used the Vasicek model and the Nelson-Siegel model to estimate the parameters of Hull-White model,and simulated the Hull-White term structure model. The theoretical prices of sample bonds were priced through the Monte Carlo simulation methods. We conducted a sensitivity analysis. It is shown that simulation-based method is more precise than the three-tree one to price bonds.

keywords:term structure of interest rates Hull-white model Monte Carlo simulation

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