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- W3080824778 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." @default.
- W3080824778 created "2020-09-01" @default.
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- W3080824778 date "2020-01-01" @default.
- W3080824778 modified "2023-10-16" @default.
- W3080824778 title "The Pricing of New Interest Rate Derivative Futures" @default.
- W3080824778 doi "https://doi.org/10.11648/j.si.20200804.16" @default.
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