浅析固定收益证券定价.doc

葛幸元浅析固定收益证券定价

学年论文
（研究生）

中文标题浅析固定收益证券定价

英文标题Analysesfixedincomesecuritiespricing

学生姓名葛幸元

学院经济

专业金融专业硕士

目录
TOC\o"1-3"\u摘要··········································································2
Abstract······································································3
1.前言 ······································································4
2.贴现模型·····································································6
2.1定价一般原理·····························································6
2.1.1现金流的估计···························································6
2.1.2利率的选择·····························································6
2.1.3现金流的贴现···························································7
2.2息票利率、贴现率与债券价格之间的关系·····································8
2.3无套利定价模型···························································9
2.4小结····································································11
折扣因子模型································································11
3.1信用价差与非国债定价····················································11
3.2信用价差模型分析························································13
3.2.1信用价差模型所包含的假设··············································13
3.2.2信用价差模型的缺陷····················································15
3.3折扣因子模型····························································16
3.3.1总体思路······························································16
3.3.2影响因素的确定························································16
3.3.3各个因素的权重的确定··················································17
3.3.4计算折扣因子··························································17
3.3.5折扣因子模型的运用····················································18
3.4小结····································································19
二叉树模型··································································21
4.1二叉树模型概述··························································21
4.2波动率和标准差····································