Study On The Application Of CIR Interest Rate Model To The Hedging Of Portfolio

At present, the marketization of interest rate is processing gradually in China. That will bring interest rate risk to the products sensitive to the interest rate. So the research on how to make products immune to the risk has academic and practical values.This paper conducts a research on how to make use of interest rate models to evade from the risk. Particularly, it uses the model proposed by Cox, Ingersoll and Ross (thereafter abbreviated by CIR) (1985b) to hedge the bond portfolio. This paper mainly finishes the following works. First, after doing some qualitative analyses, this paper suggests using the Nelson-Siegel model to fit the yield curve of Shanghai Stock Exchange's bond market. Then this paper chooses the half a year, one year, two year, three year, five year, seven year and ten year spot rates from above resulting yield curves as the sample of the next empirical research. Second, using the sample from above, this paper estimates the parameters of CIR model by the...