| 1. | The mathematical analysis of giving back loan forward
提前还贷及其隐含期权的分析 |
| 2. | Then the paper selects effective duration as the measurement of embedded option
其次,以有效持续期为核心对隐含期权利率风险的衡量技术进行了分析。 |
| 3. | The paper discusses how to manage the interest rate risk based on embedded option effectively
本文主要讨论如何对商业银行隐含期权下的利率风险进行有效的管理。 |
| 4. | Finally , the paper give some advises on how to build an effective risk control mechanism to control interest rate risk - embedded option
最后,提出了商业银行基于隐含期权利率风险控制机制的构建。 |
| 5. | Application of option theory in decision - making can make up with the flaw . so in this article black - scholes model is used in evaluate project ' s value
本文尝试运用期权定价理论：布莱克?舒尔斯模型来给投资项目的隐含期权定价。 |
| 6. | At the same time , with the embedded options in the innovative financial instruments , the chapter added the embedded options into market value analysis , which will enhance the practicability of market value analysis
同时，论文针对银行金融创新工具中隐含期权问题，将隐含期权纳入市值分析，增强了市值分析的实用性。 |
| 7. | Conclusion because of the complexity of the potential option and the multiplicity of the converting provision , the convertible bond fixed price is quite complex usually , so it is one better method that the statistical analysis method is used
结论可转债由于其隐含期权的复杂性，加之转换条款的多样性，定价比较复杂，本文从数据出发利用统计分析方法分析其价值不失为一种较好的方法。 |
| 8. | First of all , the paper defines the risk - embedded option , figures out the forms of the embedded option in the assets and liabilities of the commercial banks and analyzes the main source of the interest risk - embedded option of our country at the present time
首先对隐含期权的概念作出界定,分析了隐含期权在商业银行资产和负债中的表现形式以及目前我国商业银行资产负债项目中最主要的隐含期权利率风险的来源。 |
| 9. | We select effective duration and convexity rather than the sensitivity gap method and modifying duration gap method as the measuring index , because the latter do not consider the influence on cash flow and market value of the assets and liabilities brought by embedded options
衡量隐含期权利率风险应用有效持续期和有效凸度作为风险的量度指标,而不能用敏感性缺口和修正持续期缺口,因为后者没有考虑隐含期权对资产和负债的现金流和市场价值的影响。 |
| 10. | The paper gives a particular analysis on the core module of the option - adjusted model , that is the module of making interest scenes and the module of option characteristic behavior . combining the facts of our country the paper analyzes the applicability of the model . the paper simulates the process of calculating the effective duration and convexity with hull and white ’ s interest term structure and trinomial interest rate tree model
文章着重分析了期权调整利差的两个核心模块,即利率情景制造和期权特征行为模块以及其中涉及的模型在我国的适用性,并用hull和white的利率期限结构和三叉树的方法模拟演算了一项具有隐含期权的假设资产的有效持续期和有效凸度的求解过程。 |
