Hull-White利率模型仿真与债券估值
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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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