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 Title: 仿射AFNS利率模型參數之校準方法探討Calibrating the arbitrage-free Nelson-Siegel model Authors: 陳文忠Chen, Wen-Chung Contributors: 謝明華Hsieh, Ming-Hua陳文忠Chen, Wen-Chung Keywords: 利率期限模型參數校準AFNS 模型Nelder-Mead 方法Term Structure ModelCalibrationAFNS modelNelder-Mead Date: 2020 Issue Date: 2020-09-02 11:51:18 (UTC+8) Abstract: Arbitrage Free Nelson Siegel model (AFNS model) 為滿足無套利條件且具優良配適與預測能力之利率模型，本研究探討 AFNS model 參數之校準方法。文中以台灣公債利率資料與美國公債利率資料為例，使用兩種不同的方式，搭配最小平方法與 Nelder-Mead 方法來校準參數，並比較其計算結果之差異。本文發現第二種參數校準方式可以有效率且準確地找出參數校準值。Arbitrage-Free Nelson Siegel models is an affine term structure model that satisfies no-arbitrage condition and displays good fit and superior forecasting performance. This study explores the calibration method of AFNS model parameters. In this paper, the interest rate data of Taiwan government bonds and US government bonds are used as examples. Two methods are used, combined with the least square method and the Nelder-Mead method to calibrate the parameters, and the differences in the calculation results are compared. This article found that the second calibration method can efficiently and accurately find the parameter calibration value. Reference: Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of political economy, 81(3), 637-654.Christensen, J. H., Diebold, F. X., & Rudebusch, G. D. (2011). The affine arbitragefree class of Nelson–Siegel term structure models. Journal of Econometrics, 164(1), 4-20.Cox, J. C., Ingersoll Jr, J. E., & Ross, S. A. (2005). A theory of the term structure of interest rates. In Theory of Valuation (pp. 129-164). World Scientific.Diebold, F. X., & Li, C. (2006). Forecasting the term structure of government bond yields. Journal of econometrics, 130(2), 337-364.Duffee, G. R. (2002). Term premia and interest rate forecasts in affine models. The Journal of Finance, 57(1), 405-443.Duffie, D., & Kan, R. (1996). A yield‐factor model of interest rates. Mathematical finance, 6(4), 379-406.Heath, D., Jarrow, R., & Morton, A. (1992). Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica: Journal of the Econometric Society, 77-105.Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. The review of financial studies, 3(4), 573-592.IAIS, ICS, Retrieved June 1 2020, from: https://www.iaisweb.org/page/supervisorymaterial/insurance-capital-standardMarek, J. (2015). The Nelson-Siegel Model: Present Application and Alternative Lambda Determination.Nelder, J. A., & Mead, R. (1965). A simplex method for function minimization. The computer journal, 7(4), 308-313.Nelson, C. R., & Siegel, A. F. (1987). Parsimonious modeling of yield curves. Journal of business, 473-489.Singleton, K. J. (2009). Empirical dynamic asset pricing: model specification and econometric assessment. Princeton University Press.Tourrucôo, F., Caldeira, J. F., Moura, G., & Santos, A. (2016). Forecasting the yield curve with the arbitrage-free dynamic Nelson–Siegel model: Brazilian evidence. Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting]. Niterói: ANPEC-Associação Nacional dos Centros de Pós Graduação em Economia [Brazilian Association of Graduate Programs in Economics],Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of financial economics, 5(2), 177-188.Xu, Y., Sherris, M., & Ziveyi, J. (2019). Market Price of Longevity Risk for a Multi‐Cohort Mortality Model With Application to Longevity Bond Option Pricing. Journal of Risk and Insurance. Description: 碩士國立政治大學風險管理與保險學系107358026 Source URI: http://thesis.lib.nccu.edu.tw/record/#G0107358026 Data Type: thesis Appears in Collections: [風險管理與保險學系 ] 學位論文

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