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The Pricing of New Interest Rate Derivative Futures

Received: 28 July 2020     Published: 25 August 2020
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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
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    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

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  • @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}
    }
    

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  • 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  - 

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  • International Business School, JiNan University, Zhu Hai, China

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