论文标题
通货膨胀衍生品的定价模型的理性内核
Rational Kernel on Pricing Models of Inflation Derivatives
论文作者
论文摘要
本文的目的是分析和翻新几个关于通货膨胀衍生物的主流模型。在论文的第一章中，介绍了金融工具和基本术语的概念，例如优惠券债券，通货膨胀指数债券，交换。 在论文的第二章中，介绍和分析了开发量化利率模型历史的经典模型。此外，引入了利率模型的分类，以帮助受众了解每种模型背后的内在意识形态。 在论文的第三章中，引入了相关的数学知识。该部分在理解前面介绍的每个模型中的术语之间的术语和关系方面有贡献。 在论文的第四部分中，引入了HJM框架工作的翻新，并开始了分析。
The aim of this thesis is to analyze and renovate few main-stream models on inflation derivatives. In the first chapter of the thesis, concepts of financial instruments and fundamental terms are introduced, such as coupon bond, inflation-indexed bond, swap. In the second chapter of the thesis, classic models along the history of developing quantified interest rate models are introduced and analyzed. Moreover, the classification of interest rate models is introduced to help audiences understand the intrinsic ideology behind each type of models. In the third chapter of the thesis, the related mathematical knowledge is introduced. This part has the contribution on understanding the terms and relation among terms in each model introduced previously. In the fourth part of the thesis, the renovation of HJM frame work is introduced and analysis has been initiated.
