英文标题：
《The Zero-Coupon Rate Model for Derivatives Pricing》
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作者：
Xiao Lin
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最新提交年份：
2016
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英文摘要：
The aim of this paper is to present a dual-term structure model of interest rate derivatives in order to solve the two hardest problems in financial modeling: the exact volatility calibration of the entire swaption matrix, and the calculation of bucket vegas for structured products. The model takes a series of long-term zero-coupon rates as basic state variables that are driven directly by one or more Brownian motion. The model volatility is assigned in a matrix form with two terms. A complete numerical scheme for implementing the model has been developed in the paper. At the end, several examples have been given for the model calibration, the structured products pricing and the calculation of bucket vegas.
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中文摘要：
本文旨在提出一种利率衍生品的双期限结构模型，以解决金融建模中两个最难解决的问题：整个掉期期权矩阵的精确波动率标定和结构化产品的桶维加斯计算。该模型以一系列长期零息票利率为基本状态变量，由一个或多个布朗运动直接驱动。模型波动率以两项矩阵形式分配。本文提出了一个实现该模型的完整数值方案。最后给出了模型标定、结构化产品定价和bucket vegas的计算实例。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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