| The convertible bonds market is an important part of the total capital market. Many western countries which have systemic capital markets all have built an advanced convertible bonds market. Industrial convertible bond, the most important composite financial product of the world financial market in nowadays, has a special point that it combines convertible rights and other tacks. These tacks offered better flexibilities of equity trading and investments. Meanwhile, Convertible bonds have many other strengths such as low cost equity trading, flexible issue module, low stress on payment of debts, appropriate development of capital stocks, and tax deduction, etc. The convertible bonds market of our country have improved very fast in past several years by referencing international designing and operating experience in the same product area. The convertible bond have already become a booming variety of our financial market which can not be ignored. Therefore, going with the fast improvements of the convertible bond products and markets, correlated researches in this part must be positive fulfilled. The convertible bond is a composite financial derivative product which includes choosing rights, callback option rights, redeem option rights. Then the study of the composite option price fixing technology needs to have a foundation of essential option price fixing technology. So, more and more researchers will study the option price fixing technology, that must be helpful for the development of the option price fixing technology. Furthermore, the convertible bonds price fixing technology also relates to the knowledges of interest rate accidental process and interest rate time limitation structures, this is an advantage of the improvement of interest rate derivative products price fixing technology. The issued convertible bonds in our country have impressive special Chinese features: from the participator point of view, issued companies, investors, administrative organizations and agency organizations all have needs in proper price fixing technology of convertible bonds; from theorists point of view, researches of convertible bonds price fixing technology and referencing sophisticated theories from advanced counties can be helpful for the participator to better comprehending and managing this financial tool. Moreover, it can offer theoretical support for Chinese convertible bonds market and capital market in progressing. My dissertation adopts some research methods such as theories combined with practices, experience analysis combined result checking, and so on. Moreover, huge number of data, bar chart and statistics checking are used to introduce. The dissertation references international popular and effective methods of convertible bonds such as binary tree, partial differential equation, neutral risk hypothesis, interest rate time limitation structure and Monte Carlo imitation method, to insert some convertible bonds items which are popularly used in our country. For instance, amended items and changeable stock items. Then, suitable convertible bonds price fixing module of our country can be built. Every usability of price fixing module in neutral risk condition is analysed through dynamic searching the relationship among price of stock, convertible bonds marketing price and changeable price fluctuations. The binary tree method, Monte Carlo method, and finite difference method are unified into a same framework between issuer and investor to carring out a new point of view for convertible bonds price fixing module in our country, in consequence to deeply research activities of convertible bonds. Quantitative analysis has checked and analysed convertible bonds price module and investment combination by using econometrics and statistics methods.The dissertation uses researching of convertible bonds price fixing and investment activities in our country as a main line, through domestic convertible bonds market---convertible bonds investment&equity trading characters---convertible bonds price fixing theories and methods---convertible bonds price fixing modules---convertible bonds investment activities studies in thought to discuss and research, with the aim to bing out a systematical and special research framework for academic area.The dissertation is departed for 6 chapters.The first chapter introduces domestic and overseas convertible bonds market development and price fixing theories research current fact, main research methods, research thinking, research content and the innovation of the dissertation.The second chapter carries out the total characters of our country convertible bonds investment and equity trading, analyses basic items and designing points with the influence to our country convertible bonds, aims to found better convertible bonds price fixing modules which is more suitable for our Chinese feature.The third chapter systematically deduces and analyses convertible bonds price fixing related theories and functions relationship. This chapter mainly discusses weak effective marketplace Markvo process, neutral risk price fixing, Martingale method and interest rate time limitation structure theories, with detailed discussion of using convertible bonds price fixing. Also, it introduces negotiable securities price activity modules and changing process by mathematic method, to build a theoretical foundation for convertible bonds model establishment.Chapter four offers common convertible bonds price fixing modules both domestic and overseas---Black-scholes option price fixing module. It deduces the price fixing formula in neutral risk conditions to lead convertible bonds option value and amended items such as callback items and redeem items into price fixing formula and modules. On this foundation, it re-checks and analyses the usage of B-S price fixing module in domestic convertible bonds market.Chapter five gives three kinds of convertible bonds price fixing module in our country: Binomial Tree module, double factors partial differential equation module and referenced Monte Carlo thinking imitation method. The discussion parts of every modules includes theory foundation, model structures, result calculating process. Also, every module is discussed both strengths and weaknesses separately. Mathematical method, computation method and information technology are used in uniting these three modules. Finally, practice checking and analysis are completed. Chapter six accordings to the fact status of our country stock market, bonds market and convertible bonds market, uses convertible bonds theory value which has been deduced out already by price fixing modules, combines with arbitrage theory and dedging theory in economics studies to analyse convertible bonds investment activities in our country. It optimizes convertible bonds investment combination boundary, and then bing out the policy suggestions to progress convertible bonds market for our country.The dissertation based on many researchers studies both domestic and overseas, has made some advantageous extension research and attempts. It has improved and innovated in the following aspects1. Although the domestic convertible bonds designing thinking is ultimately from international market, it behaves differentiations to international products in detailed items since the special environment of the growing process for our country finance market. Therefore, the domestic factor is sufficiently thought in price fixing modules processes to put option value, callback items and redeem items into the modules.2. The studies mainly aimed at every price fixing formula reduction and price fixing modules establishment in neutral risk condition, then the established price fixing modules are strongly usable.3. The dissertation lead the interest rate random module into convertible bonds price fixing, has changed the price fixing limitation by single factor module marketing rate changes reasons. It achieved the limitation differentiation modules of interest rate and stock price fluctuations.4. The dissertation accorded to the changeable relationship among items designing of convertible bonds, dynamic analysis of stock price, convertible bonds marketing price, and changed price, unite binary tree method, Monte Carlo method, and finite difference method into a framework of convertible bonds price fixing. The theory value of survey and acknowledge for convertible bonds has been carried out from a new point of view.5. The dissertation is based on the studies of double factors Monte Carlo price fixing method which includes thinking of both stock price movement and interest rate movement. It combined the effects of convertible bonds values from redeem rights, convert rights, callback rights to convertible bonds price fixing researches by using binary tree method. That is definitely an innovation in both theories and practices.6. According to price fixing theories and risk evaluations, the dissertation has analysed investment value and risk structures of domestic convertible bonds, researched activities of convertible bonds investment by using mathematical methods and statistics methods.7. The dissertation has analysed the combination of convertible bonds investments, has optimized investment combination effective boundary, and finally brought forwards the policy suggestions of developing convertible bonds market for our country. |
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