Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/135941| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 林士貴 | zh_TW |
| dc.contributor.advisor | Lin, Shih-Kuei | en_US |
| dc.contributor.author | 黃子瑋 | zh_TW |
| dc.contributor.author | Huang, Zi-Wei | en_US |
| dc.creator | 黃子瑋 | zh_TW |
| dc.creator | Huang, Zi-Wei | en_US |
| dc.date | 2021 | en_US |
| dc.date.accessioned | 2021-07-01T10:04:02Z | - |
| dc.date.available | 2021-07-01T10:04:02Z | - |
| dc.date.issued | 2021-07-01T10:04:02Z | - |
| dc.identifier | G0108352024 | en_US |
| dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/135941 | - |
| dc.description | 碩士 | zh_TW |
| dc.description | 國立政治大學 | zh_TW |
| dc.description | 金融學系 | zh_TW |
| dc.description | 108352024 | zh_TW |
| dc.description.abstract | 因應現今金融市場環境，以及高資產客戶或機構法人在避險和風險管理上的需求，相關利率類衍生性金融商品的交易量也快速地成長。此外，在巴賽爾銀行監督委員會 (Basel Committee on Banking Supervision, BCBS) 之「交易簿的基礎原則審視」(Fundamental Review of the Trading Book, FRTB) 新規範下，對於市場風險之管控和估計也更加重視。本論文以市場上常見可贖回固定期限交換 (Constant Maturity Swap, CMS) 利率價差區間計息型商品做為評價對象，透過一般化交換市場模型 (Generalized Swap Market Model, GSMM)，以及最小平方蒙地卡羅法 (Least Squares Monte Carlo method, LSMC) 計算商品之模擬價值，並進行敏感度分析 (Sensitivity analysis) 求得相關避險參數，最後從商品的評價面以及風險管理面做相關之研究分析。 | zh_TW |
| dc.description.abstract | In the recent financial market environment, relevant interest rate derivatives have grown rapidly because of the needs of high net worth individuals and institutional investors for hedging and risk management purposes. Moreover, in the new norm of FRTB established by BCBS, it pays more attention to market risk management and measurement. In this paper, we price the product of interest rate derivatives for the callable range accrual linked to CMS spread which is the common financial instrument traded in the market by LSMC under GSMMs. Additionally, we evaluate the value of this product and calculate the relevant Greeks by sensitivity analysis. Finally, we discuss and analyze the empirical results from valuation and risk management sides. | en_US |
| dc.description.tableofcontents | 第一章 緒論 1\n第一節 研究動機 1\n第二節 研究目的 2\n第二章 文獻回顧 3\n第一節 利率模型 3\n第二節 GSMM 模型 5\n第三節 相關係數和波動度 6\n第四節 樹狀模型與最小平方蒙地卡羅法 10\n第三章 研究方法 13\n第一節 可贖回 CMS 價差區間計息型商品介紹 13\n第二節 殖利率曲線和起始交換利率曲線 16\n第三節 GSMM模型建構遠期交換利率 18\n第四節 參數估計與校驗過程 20\n第五節 商品評價與避險參數計算 23\n第四章 實證分析 27\n第一節 參數估計結果 27\n第二節 商品評價結果分析 37\n第三節 商品評價避險參數分析 39\n第五章 結論和展望 46\n第一節 研究結論 46\n第二節 未來展望 47\n參考文獻 49 | zh_TW |
| dc.format.extent | 1660984 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0108352024 | en_US |
| dc.subject | 利率衍生性商品 | zh_TW |
| dc.subject | 固定期限交換利率 | zh_TW |
| dc.subject | 區間計息型商品 | zh_TW |
| dc.subject | 一般化交換利率市場模型 | zh_TW |
| dc.subject | 最小平方蒙地卡羅模擬法 | zh_TW |
| dc.subject | 敏感度分析 | zh_TW |
| dc.subject | Interest Rate Derivative | en_US |
| dc.subject | Constant Maturity Swap | en_US |
| dc.subject | Range Accrual | en_US |
| dc.subject | Generalized Swap Market Model | en_US |
| dc.subject | Least Squares Monte Carlo Simulation | en_US |
| dc.subject | Sensitivity Analysis | en_US |
| dc.title | GSMM模型下可贖回固定期限交換價差區間計息型商品評價與敏感度分析 | zh_TW |
| dc.title | Valuation and Sensitivity Analysis of Callable Range Accrual Linked to CMS Spread under Generalized Swap Market Models | en_US |
| dc.type | thesis | en_US |
| dc.relation.reference | 中文部分\n1.王韋之 (2020)。可贖回 CMS 價差區間計息型商品之評價分析 : 基於 LFM 與最小平方蒙地卡羅法之模擬加速實證。國立政治大學金融研究所碩士論文。\n2.陳松男 (2006)。利率金融工程學-理論模型及實務應用。台北：新陸書局。\n\n英文部分\n1.Benmakhlouf Andaloussi, M. (2019). The Swap Market Model with Local Stochastic Volatility. In.\n2.Black, F., Derman, E., & Toy, W. (1990). A one-factor model of interest rates and its application to treasury bond options. Financial Analysts Journal, 46(1), 33-39.\n3.Boyle, P. P. (1977). Options: A monte carlo approach. Journal of Financial Economics, 4(3), 323-338.\n4.Boyle, P. P. (1988). A lattice framework for option pricing with two state variables. Journal of Financial and Quantitative Analysis, 1-12.\n5.Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155.\n6.Brigo, D., & Mercurio, F. (2007). Interest rate models-theory and practice: with smile, inflation and credit: Springer Science & Business Media.\n7.Broadie, M., & Glasserman, P. (2004). A stochastic mesh method for pricing high-dimensional American options. Journal of Computational Finance, 7, 35-72.\n8.Chen, R.-R., Hsieh, P.-L., & Huang, J. (2018). It is time to shift log-normal. The Journal of Derivatives, 25(3), 89-103.\n9.Cox, J. C., Ingersoll Jr, J. E., & Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53(2), 385-407.\n10.Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229-263.\n11.Galluccio, S., Ly, J. M., Huang, Z., & Scaillet, O. (2007). Theory and calibration of swap market models. Mathematical Finance, 17(1), 111-141.\n12.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.\n13.Ho, T. S., & Lee, S. B. (1986). Term structure movements and pricing interest rate contingent claims. The Journal of Finance, 41(5), 1011-1029.\n14.Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. The Review of Financial Studies, 3(4), 573-592.\n15.Jamshidian, F. (1997). LIBOR and swap market models and measures. Finance and Stochastics, 1(4), 293-330.\n16.Kamrad, B., & Ritchken, P. (1991). Multinomial approximating models for options with k state variables. Management Science, 37(12), 1640-1652.\n17.Longstaff, F. A., & Schwartz, E. S. (2001). Valuing American options by simulation: a simple least-squares approach. The Review of Financial Studies, 14(1), 113-147.\n18.Moreno, M., & Navas, J. F. (2003). On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives. Review of Derivatives Research, 6(2), 107-128.\n19.Parkinson, M. (1977). Option pricing: the American put. The Journal of Business, 50(1), 21-36.\n20.Rebonato, R. (2005). Volatility and correlation: the perfect hedger and the fox: John Wiley & Sons.\n21.Rendleman, R. J. (1979). Two-state option pricing. The Journal of Finance, 34(5), 1093-1110.\n22.Tilley, J. A. (1993). Valuing American options in a path simulation model. Paper presented at the Transactions of the Society of Actuaries.\n23.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188.\n24.Zhu, J. (2007). Generalized swap market model and the valuation of interest rate derivatives. Available at SSRN 1028710. | zh_TW |
| dc.identifier.doi | 10.6814/NCCU202100584 | en_US |
| item.fulltext | With Fulltext | - |
| item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
| item.grantfulltext | restricted | - |
| item.openairetype | thesis | - |
| item.cerifentitytype | Publications | - |
| Appears in Collections: | 學位論文 | |
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| 202401.pdf | 1.62 MB | Adobe PDF2 | View/Open |
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