Uncertain generalized mean reversion interest rate risk model with applications to financial instruments

In order to more comprehensively describe the uncertain factors that affect interest rate changes in the financial market, this paper proposes an uncertain generalized mean reversion interest rate risk model based on uncertainty theory and studies the solution via its inverse uncertainty distribution of the model. On this basis, this paper also studies the applications of this model in zero-coupon bonds, interest rate ceilings, and interest rate floors. Besides, we design corresponding numerical algorithms to calculate the prices of the corresponding contracts. Finally, this paper conducts an empirical study based on China's two-year treasury bond interest rate data to verify the model's effectiveness. The numerical results show the proposed uncertain interest rate risk model fits the data well.