| Interest Rate Linked Structured Products are the most widely used financial product in the market.This kind of products can be regarded as a kind of fixed income securities portfolio.The core problem is to describe and stimulate the market interest rates and volatility.In recent years,some Chinese scholars have been concerned about this new field,but the research is mainly based on the traditional model,the analysis of the structure could be rare because of China's financial market is in the initial stage of development,interest rate derivatives market is not be established.Try to understand the principle and methods of designation will be a significant thing to do.First of all,this thesis summarizes the main models and theories of interest rate linked structured products,methods and ideas of the research.The second part is about the market development of the interest rate linked structured products.The third part discusses the general method of pricing interest rate linked structured products,Non-arbitrage equilibrium theory developed by the geometric Brown motion,Ito's lemma to two binomial tree model and Black Scholes model proposed by Cox.Considering the interest rate model,this paper divides the main interest rate theory into two types,which are based on market equilibrium and the one based on non arbitrage equilibrium.The fourth part selects two representative financial products in the market,studying its structure and pricing model by using the Black method and Hull White Model.The main risk related options is the index,so the issuer's profit margins are analyzed and discussed,and reference the thought of HW model.In the last part of this paper,we discuss the possibility of using the option as a perspective to discuss the structure and design of structured products,and to create new derivatives or structured products.In combination with the practical learning experience,the analysis can crate their own product which can be found in Chinese financial market. |
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