The Pricing of New Interest Rate Derivative Futures

Yuxuan Liu

doi:doi:10.11648/j.si.20200804.16

| Peer-Reviewed

The Pricing of New Interest Rate Derivative Futures

Yuxuan Liu

Published in Science Innovation (Volume 8, Issue 4)

Received: 28 July 2020 Published: 25 August 2020

Views: Downloads:

Download PDF

Share This Article

Twitter
Linked In
Facebook

Abstract

This paper reviews the development of commercial real estate mortgage-backed securities. In addition, summarizes the relevant pricing formula of futures contracts and commercial real estate mortgage-backed securities. Based on the above research, this paper puts forward a new type of interest rate derivative futures, that is to say CMBS futures. In this paper, both the CIR model and the generalized method of moments are used to deduce the relevant pricing formula of the new financial derivatives, the CMBS futures. At the same time, the 261 real commercial mortgage backed security transaction data from May 3, 2015 to April 26, 2020 in the U.S. stock market are downloaded and used to test the derived pricing formula that derived above, and at last a specific CMBS futures contract is designed in order to provide reference for publishers when they are issuing the CMBS futures products. The research of this paper has certain practical significance for promoting the interest rate marketization, broadening the existing financing channels for investors, promoting the development of interest rate derivatives market and interest rate futures market. It also has certain theoretical significance for the development of financial derivatives and futures market, especially the development of interest rate derivatives and its futures products.

Published in	Science Innovation (Volume 8, Issue 4)
DOI	10.11648/j.si.20200804.16
Page(s)	114-122
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2020. Published by Science Publishing Group

Keywords

CMBS, Derivatives, Pricing, CIR

References

[1]	马向辉. 资产证券化融资方式及其在我国的应用与发展[D]. 对外经济贸易大学, 2002.
[2]	Fabozzi Frank J , Mcbride Joe , Clancy Manus. THE POST-CRISIS CMBS MARKET: Will Regulations Prevent Another Market Meltdown?[J]. The Journal of Portfolio Management, 2015, 41(SEP.SPEC.):118-125.
[3]	何宇明. CMBS:商业地产融资的创新方式[J]. 市场研究,2008(07):43-45.
[4]	杜文淑. 金融危机下我国商业银行住房抵押贷款证券化的法律思考[C]. 中国法学会银行法学研究会.金融法学家（第一辑）.中国法学会银行法学研究会: 中国银行法学研究会, 2009:325-330.
[5]	王晓伟. CMBS的中国之路走了一年[N]. 中国房地产报, 2006-09-18.
[6]	陈健. 房地产资产证券化加速推进[N]. 上海金融报, 2017-08-01(A08).
[7]	钱毓芳.中国商业房地产抵押贷款支持证券现状研究[J]. 全国流通经济, 2019(25):124-126.
[8]	朱姝鹏. 商业性不动产抵押贷款和CMBS定价分析[D]. 浙江工商大学, 2010.
[9]	Jacob D P，Ted Hong and L H Lee. An Options Approach to Commercial Mortgages and CMBS Valuation and Risk Analysis[M]. The Handbook of Commercial Mortgage-Backed Securities, in F.J. Fabozzi and D.P. Jacob (Eds), 1999:317-346
[10]	周宏,李国平,林晚发,王园.企业债券信用风险定价模型评析与进展[J].管理科学学报,2015,18(08):20-30.
[11]	Merton, Robert C . ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*[J]. The Journal of Finance, 1974, 29(2):449-470.
[12]	Titman Sheridan, Torous Walter. Valuing Commercial Mortgages: An Empirical Investigation of the Contingent- Claims Approach to Pricing Risky Debt[J]. The Journal of Finance, 1989, 44(2):345-373.
[13]	In Joon Kim, Krishna Ramaswamy, Suresh Sundaresan. Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model. 1993, 22(3):117-131.
[14]	Childs P, OttS, Riddiough T. The Pricing of Multiclass Commercial Mortgage-Backed Securities. Journal of Financial and Quantitative Analysis, 1996, 31(4):581-603.
[15]	Liu Zhan Yong, Fan Gang Zhi, Lim Kian Guan. Extreme Events And The Copula Pricing Of Commercial Mortgage-backed Securities[J]. The Journal of real estate finance and economics, 2009, 38(3):327-349.
[16]	Kay Giesecke. Correlated default with incomplete information[J]. Journal of Banking and Finance, 2004,28(7).
[17]	Giesecke Kay, Goldberg Lisa R. Sequential Defaults And Incomplete Information[J]. SSRN Electronic Journal, 2004, 7(1):2004.
[18]	Li David X. On Default Correlation: A Copula Function Approach[J]. SSRN Electronic Journal, 1999, 9(4).
[19]	Robert A，Jarrow，Fan Yu. Counterparty Risk and the Pricing of Defaultable Securities. 2001, 56(5):1765-1799.
[20]	周贵强. 商业房地产抵押支持证券的违约集聚风险与定价模型研究[D]. 华中科技大学,2014.
[21]	Robert W，Kolb, Ser‐huang Poon. Modeling International Financial Markets Contagion: Using Copula and Risk Appetite[M]. 2011.
[22]	Darrell Duffie, Kenneth J. Singleton. Modeling Term Structures of Defaultable Bonds[J]. Financial Management, 1999, 12(4):687-720.
[23]	Schwartz Eduardo S, Torous Walter N. Prepayment and the Valuation of Mortgage-Backed Securities[J]. The Journal of Finance, 1989, 44(2):375-392.
[24]	周春生, 长青, 郭良勤. 等待的价值——未来不确定性条件下的建设项目投资决策分析[J]. 经济研究, 2001(08):79-85.
[25]	Darrell Duffie, David Lando. Term Structures of Credit Spreads with Incomplete Accounting Information[J]. Econometrica，2001, 69(3):633-664.
[26]	Fan Gang Zhi, Sing Tien Foo, Ong Seow Eng. Default Clustering Risks in Commercial Mortgage-Backed Securities[J]. The Journal of real estate finance and economics, 2012, 45(1):110-127.
[27]	An Xudong, Deng Yongheng, Nichols Joseph, et al. What is Subordination About? Credit Risk and Subordination Levels in Commercial Mortgage-Backed Securities (CMBS)[J]. Social ence Electronic Publishing，2015, Vol.51 (2), pp.231-253.
[28]	JOHN C. COX, JONATHAN E. INGERSOLL Jr, STEPHEN A. ROSS. A THEORY OF THE TERM STRUCTURE OF INTEREST RATES[M]. Theory Of Valuation. 2014.
[29]	DARRELL DUFFIE, MING HUANG. Swap Rates and Credit Quality[J]. The Journal of Finance,1996,51(3).
[30]	Sing Tian Foo , Ong Seow Eng , Fan Gang Zhi, et al. Analysis of Credit Risks in Asset-Backed Securitization Transactions in Singapore[J]. Journal of Real Estate Finance & Economics, 2004, 28(2-3):235-253.
[31]	侯德鑫, 张莉. 我国CMBS业务违约风险测算和回购期权定价[J]. 系统科学与数学, 2017,37(06):1452-1467.
[32]	John Hull, Alan White. Valuing Derivative Securities Using the Explicit Finite Difference Method[J]. Journal of Financial and Quantitative Analysis，1990, 25(1):87-100.
[33]	谭璐. 基于Hull-White利率期限结构模型的债券定价研究[D]. 湖南大学, 2013.
[34]	Mcconnell，John J，and Manoj Singh. Rational prepayments and the valution of collateralized mortgage obligations[J]. The Journal of Finance, 1994, 49: 891-921.
[35]	施方. 住房抵押贷款支持证券的微分方程定价及有限差分解法[J]. 上海大学学报(自然科学版), 2002(04):348-352.
[36]	Yildirim Yildiray. Estimating Default Probabilities of CMBS Loans with Clustering and Heavy Censoring[J]. The Journal of real estate finance and economics, 2008, 37(2):93-111.
[37]	Xu dong An, Yong heng Deng, Stuart A. Gabriel. Asymmetric information, adverse selection, and the pricing of CMBS[J]. Journal of Financial Economics, 2010,100(2).
[38]	马超群, 马宗刚. 基于Vasicek和CIR模型的巨灾风险债券定价[J]. 系统工程, 2013,31(09):33-38.
[39]	周丽. 利率衍生品定价研究[D]. 北京理工大学, 2006.
[40]	周生宝, 王雪标, 刘书舟. 我国短期利率波动的水平效应和跳跃效应[J]. 财经问题研究, 2015(07):47-51.
[41]	边卫红, 焦正上. 美元利率定价权改革[C]. .《IMI研究动态》2016年合辑. :中国人民大学国际货币研究所, 2016:2164-2170.
[42]	冉茂. CIR模型下的国债期货选择交割期权定价[D]. 西南财经大学, 2013.
[43]	谢斯. 利率期货的定价与实证分析[D]. 浙江大学, 2008.
[44]	George Chacko, Sanjiv Das. Pricing Interest Rate Derivatives: A General Approach. 2002, 15(1):195-241.
[45]	邹玲. 几类利率衍生品定价模型的探究[D]. 华中科技大学, 2009.
[46]	吴思远. CIR模型在中国市场的应用[D]. 中国科学技术大学, 2017.
[47]	Zsohar, P. Short introduction to the generalized method of moments, Hungarian statistical review[M]. 2011, 16: 150-170.
[48]	Brennan Michael J. A theory of price limits in futures markets[J]. North-Holland,1986,16(2).

Cite This Article

Plain Text BibTeX RIS

APA Style

Yuxuan Liu. (2020). The Pricing of New Interest Rate Derivative Futures. Science Innovation, 8(4), 114-122. https://doi.org/10.11648/j.si.20200804.16

Copy | Download

ACS Style

Yuxuan Liu. The Pricing of New Interest Rate Derivative Futures. Sci. Innov. 2020, 8(4), 114-122. doi: 10.11648/j.si.20200804.16

Copy | Download

AMA Style

Yuxuan Liu. The Pricing of New Interest Rate Derivative Futures. Sci Innov. 2020;8(4):114-122. doi: 10.11648/j.si.20200804.16

Copy | Download

@article{10.11648/j.si.20200804.16,
  author = {Yuxuan Liu},
  title = {The Pricing of New Interest Rate Derivative Futures},
  journal = {Science Innovation},
  volume = {8},
  number = {4},
  pages = {114-122},
  doi = {10.11648/j.si.20200804.16},
  url = {https://doi.org/10.11648/j.si.20200804.16},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.si.20200804.16},
  abstract = {This paper reviews the development of commercial real estate mortgage-backed securities. In addition, summarizes the relevant pricing formula of futures contracts and commercial real estate mortgage-backed securities. Based on the above research, this paper puts forward a new type of interest rate derivative futures, that is to say CMBS futures. In this paper, both the CIR model and the generalized method of moments are used to deduce the relevant pricing formula of the new financial derivatives, the CMBS futures. At the same time, the 261 real commercial mortgage backed security transaction data from May 3, 2015 to April 26, 2020 in the U.S. stock market are downloaded and used to test the derived pricing formula that derived above, and at last a specific CMBS futures contract is designed in order to provide reference for publishers when they are issuing the CMBS futures products. The research of this paper has certain practical significance for promoting the interest rate marketization, broadening the existing financing channels for investors, promoting the development of interest rate derivatives market and interest rate futures market. It also has certain theoretical significance for the development of financial derivatives and futures market, especially the development of interest rate derivatives and its futures products.},
 year = {2020}
}

Copy | Download

TY  - JOUR
T1  - The Pricing of New Interest Rate Derivative Futures
AU  - Yuxuan Liu
Y1  - 2020/08/25
PY  - 2020
N1  - https://doi.org/10.11648/j.si.20200804.16
DO  - 10.11648/j.si.20200804.16
T2  - Science Innovation
JF  - Science Innovation
JO  - Science Innovation
SP  - 114
EP  - 122
PB  - Science Publishing Group
SN  - 2328-787X
UR  - https://doi.org/10.11648/j.si.20200804.16
AB  - This paper reviews the development of commercial real estate mortgage-backed securities. In addition, summarizes the relevant pricing formula of futures contracts and commercial real estate mortgage-backed securities. Based on the above research, this paper puts forward a new type of interest rate derivative futures, that is to say CMBS futures. In this paper, both the CIR model and the generalized method of moments are used to deduce the relevant pricing formula of the new financial derivatives, the CMBS futures. At the same time, the 261 real commercial mortgage backed security transaction data from May 3, 2015 to April 26, 2020 in the U.S. stock market are downloaded and used to test the derived pricing formula that derived above, and at last a specific CMBS futures contract is designed in order to provide reference for publishers when they are issuing the CMBS futures products. The research of this paper has certain practical significance for promoting the interest rate marketization, broadening the existing financing channels for investors, promoting the development of interest rate derivatives market and interest rate futures market. It also has certain theoretical significance for the development of financial derivatives and futures market, especially the development of interest rate derivatives and its futures products.
VL  - 8
IS  - 4
ER  -

Copy | Download

Author Information

Yuxuan Liu

International Business School, JiNan University, Zhu Hai, China

Download PDF

Sections

Plain Text BibTeX RIS

APA Style

Yuxuan Liu. (2020). The Pricing of New Interest Rate Derivative Futures. Science Innovation, 8(4), 114-122. https://doi.org/10.11648/j.si.20200804.16

Copy | Download

ACS Style

Yuxuan Liu. The Pricing of New Interest Rate Derivative Futures. Sci. Innov. 2020, 8(4), 114-122. doi: 10.11648/j.si.20200804.16

Copy | Download

AMA Style

Yuxuan Liu. The Pricing of New Interest Rate Derivative Futures. Sci Innov. 2020;8(4):114-122. doi: 10.11648/j.si.20200804.16

Copy | Download

@article{10.11648/j.si.20200804.16,
  author = {Yuxuan Liu},
  title = {The Pricing of New Interest Rate Derivative Futures},
  journal = {Science Innovation},
  volume = {8},
  number = {4},
  pages = {114-122},
  doi = {10.11648/j.si.20200804.16},
  url = {https://doi.org/10.11648/j.si.20200804.16},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.si.20200804.16},
  abstract = {This paper reviews the development of commercial real estate mortgage-backed securities. In addition, summarizes the relevant pricing formula of futures contracts and commercial real estate mortgage-backed securities. Based on the above research, this paper puts forward a new type of interest rate derivative futures, that is to say CMBS futures. In this paper, both the CIR model and the generalized method of moments are used to deduce the relevant pricing formula of the new financial derivatives, the CMBS futures. At the same time, the 261 real commercial mortgage backed security transaction data from May 3, 2015 to April 26, 2020 in the U.S. stock market are downloaded and used to test the derived pricing formula that derived above, and at last a specific CMBS futures contract is designed in order to provide reference for publishers when they are issuing the CMBS futures products. The research of this paper has certain practical significance for promoting the interest rate marketization, broadening the existing financing channels for investors, promoting the development of interest rate derivatives market and interest rate futures market. It also has certain theoretical significance for the development of financial derivatives and futures market, especially the development of interest rate derivatives and its futures products.},
 year = {2020}
}

Copy | Download

TY  - JOUR
T1  - The Pricing of New Interest Rate Derivative Futures
AU  - Yuxuan Liu
Y1  - 2020/08/25
PY  - 2020
N1  - https://doi.org/10.11648/j.si.20200804.16
DO  - 10.11648/j.si.20200804.16
T2  - Science Innovation
JF  - Science Innovation
JO  - Science Innovation
SP  - 114
EP  - 122
PB  - Science Publishing Group
SN  - 2328-787X
UR  - https://doi.org/10.11648/j.si.20200804.16
AB  - This paper reviews the development of commercial real estate mortgage-backed securities. In addition, summarizes the relevant pricing formula of futures contracts and commercial real estate mortgage-backed securities. Based on the above research, this paper puts forward a new type of interest rate derivative futures, that is to say CMBS futures. In this paper, both the CIR model and the generalized method of moments are used to deduce the relevant pricing formula of the new financial derivatives, the CMBS futures. At the same time, the 261 real commercial mortgage backed security transaction data from May 3, 2015 to April 26, 2020 in the U.S. stock market are downloaded and used to test the derived pricing formula that derived above, and at last a specific CMBS futures contract is designed in order to provide reference for publishers when they are issuing the CMBS futures products. The research of this paper has certain practical significance for promoting the interest rate marketization, broadening the existing financing channels for investors, promoting the development of interest rate derivatives market and interest rate futures market. It also has certain theoretical significance for the development of financial derivatives and futures market, especially the development of interest rate derivatives and its futures products.
VL  - 8
IS  - 4
ER  -

Copy | Download