Designing minimum guaranteed return funds
提出一个动态随机优化模型来设计最低保证回报基金，详细描述了基于三因子期限结构模型的最低保证定价和债券组合估值方法，能精确为单个债券定价。
In recent years there has been a significant growth of investment products aimed at attracting investors who are worried about the downside potential of the financial markets. This paper introduces a dynamic stochastic optimization model for the design of such products. The pricing of minimum guarantees as well as the valuation of a portfolio of bonds based on a three-factor term structure model are described in detail. This allows us to accurately price individual bonds, including the zero-coupon bonds used to provide risk management, rather than having to rely on a generalized bond index model.