基于跳跃-扩散利率模型的浮动利率抵押贷款支持证券定价研究

已有文献在研究抵押贷款支持证券的定价时,所假设的利率随机过程大多是连续的,没有考虑到利率受人为或突发事件的干扰而产生跳跃不连续的情形.本文利用跳跃-扩散模型模拟利率随机过程,结合我国借款人行为特点建立提前偿还比例危险模型,运用Monte Carlo模拟方法,研究了浮动利率抵押贷款支持证券的定价,讨论了利率模型各参数的变化对定价的影响.经模拟发现:利率跳跃的频率、跳跃幅度的波动越大,证券价格越大,而利率跳跃幅度的均值越大,证券价格却越小.

A Study on Pricing for Adjusted Rate Mortgage-Backed Securities Based on Jump-Diffusion Interest Rate Model

Existing literature regarding pricing for MBS is usually based on the assumption that interest rates follow a continuous stochastic process,and ignores the jumps and discontinuousness of interest rates,which are engendered by some artificial and paroxysmal events.In this paper,using a jump-diffusion interest rate process together with a proportional hazard model of prepayment,we investigate the pricing for adjusted rate MBS and discuss the impact of changes of parameters in interest rate model on the price of MBS.Employing Monte Carlo simulation,the conclusions we find include: The higher the frequency and volatility of the jumps of interest rate are,the higher the pricing of MBS is;the larger the mean level of jumps of interest rate is,the lower the price of MBS is.