摘要
随着利率市场化进程的不断加快,对债券的价格波动率进行较深入的了解,才能在实战中对价格的涨跌原因进行正确分析,并采取相应的投资策略.本文介绍了债券价格波动率的两种重要测度:久期和凸度.给出了久期凸度对国债价格波动率预测的实证分析,以及基于久期和凸度的套期保值方法.
With the process of interest marketization are noticeably accelerating,we learn a lot about bond volatility so as to analyse the cause of changes in the bond price and make perfect investment strategy. Two important measures of bond volatility（duration and convexity） are introduced in the paper.And the effect of duration and convexity on the forecast bond volatility are discussed. The paper also introduces a hedging method based on duration and convexity.
出处
《吉林师范大学学报（自然科学版）》
2008年第1期10-12,15,共4页
Journal of Jilin Normal University:Natural Science Edition
基金
中国科学院预测科学研究中心基金(2006-02-09)
