研究期間：10208~10307;This research contains two parts and will be completed in two years. The first part intends to choose the most versatile interest rate models from the interest rate models used in practice, and then adopts it to derive pricing formulas of popular interest rate derivatives such as swaptions, bond options, caps and floors. In this way, the parameters of the resulting pricing formulas are consistent. Based on these consistent pricing formulas, this research further intends to design a hedging strategy consistent to all interest rate derivatives. By using this proposed hedging strategy, if an investment bank contains a portfolio of interest rate derivatives, then the interest rate volatility and the term structure of interest rates risks can be hedged in a consistent, efficient and accurate way. The hedging strategy for other risks of a portfolio composed of interest rate derivatives will also be examined in this research.