中国商品挂钩债券的定价与仿真研究

This project aims, in consideration of the existing problems in China of frequent corporate bonds financing defaults, and an increasing tendency of credit risks, unitary form and improper policy restraints of government guarantee, to conduct a research on the devising, pricing and emulational theories, methods and application of Commodity-linked Bonds in China. The main contents will include: 1. the deducing, on the basis of the multi-factor pricing model under complete markets, of the incomplete market Commodity-linked bond valuation equation with the stochastic convenience yield so as to achieve the theoretical innovation of commodity derivatives; 2. the proposing, by a comparative static analysis of the factors affecting the value of the bonds, of propositions of the intrinsic relationship among multi-variables, and the processing, by a digital simulation to engage the grouping dimension reduction, of the multi-dimensional data-space so as to indicate the valuation trajectories of commodity-linked bonds in different cases and achieve the methodological innovation of the pricing of derivatives;3. the deducing, in consideration of the path selecting under the constraint conditions, of the value expression of Commodity-linked bonds under price control so as to simulate the real-world devising and pricing of Commodity-linked Bonds. Such theoretical and methodological innovations of the pricing of commodity derivatives shall be further applied into practice to achieve the innovation of application. This project results will address the key technical problems such as the sample design, valuation, information integration and simulation platform of Commodity-linked Bonds in China, and therefore carry significant theoretical and practical meanings.

本项目针对中国企业债券融资违约频发、政府担保信用风险累积、品种单一及政策约束不当等问题，探讨中国商品挂钩债券的设计、定价与仿真的理论、方法及应用。拟研究：1.从完全市场下多因素一般定价模型出发，推演考虑随机便利收益引致的不完全市场商品挂钩债券的价值方程，拟实现商品衍生品定价理论模型创新。2.对影响债券价值的因素进行比较静态理论证明，提出多变量间内在关系命题，并采用数据模拟将多维数值空间实施分组降维处理。从而揭示不同情形下债券价值的运动轨迹，实现商品衍生品定价方法创新。3.在约束条件中考虑对不同商品价格的路径选择，推演出价格管制下商品挂钩债券的表达式，模拟真实环境下商品挂钩债券的设计和定价。拟对上述商品衍生品定价理论和方法在实践中的运用创新。本项目成果将围绕中国商品挂钩债券样本设计、价值确定、信息集成、仿真平台等关键技术问题，建立系统的理论、方法及应用体系，因而具有重要的理论与实际意义。