浮动利率结构下的远期定价与风险管理

Forward Price and Risk Management with the Structure of Floating Rate

在无风险利率结构的基础上进行扩张,引入浮动利率结构模型。结合实际情况,假设存在利率相对稳定的市场,在这个市场中研究远期的定价,并与无风险利率市场中远期的定价进行比较。同时由于利率的不确定性使购买远期时面临风险,对于这种风险,提出切实可行的风险管理方法。

This paper extends on the base of risk-free interest rate structure and introduces the model of floating interest rate structure. According to the actual circumstance, we investigate the forward price in the market that has relative stable interest rate, and compare it with the medium term and forward price in the market that has risk-free interest rate. Since the indeterminacy of interest rate makes the forward purchase facing risk, we put forward the feasible risk management method to deal with the risk.