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https://ah.lib.nccu.edu.tw/handle/140.119/38535
題名: | 結構型金融商品之評價--以利率連動債券為例 The pricing of structured notes: Interest rate-linked product |
作者: | 李政儒 Lee, Cheng Ju |
貢獻者: | 陳松男 李政儒 Lee, Cheng Ju |
關鍵詞: | 市場模型 利率連動債券 提前贖回債券 Libor Market Model nterest Rate Structured Note Least-Squared Monte Carlo |
日期: | 2009 | 上傳時間: | 9-Apr-2010 | 摘要: | 利率模型從早期的短期利率模型、遠期利率模型發展到現在的市場模型。在模型的概念上,已經從市場上不存在的瞬間連續利率修正到市場上可觀察的區間連續的遠期利率。而評價方法的進步,使得市場上發展出各式各樣的利率衍生性商品,其中付「提前贖回條款」的債券很常見。為吸引投資人,附提前贖回條款的債券往往伴隨著高配息。本文選用「12年期美金計價『利率區間』連動債券」與「十年期美元計價息滿到期反浮動利率連動債券」做個案分析,在市場模型之下,評價具提前贖回條款的債券。 | 參考文獻: | [1] L. Anderson, and J. Andreasen, Volatility Skews and Extentions of the Libor Market Model, Applied Mathematical Finance, 7, 1-32 (2000). [2] F. Black, E. Derman, and W. Toy, A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options, Financial Analysts Journal, 3, 24-32 (1990). [3] A. Brace, D. Gatarek and M. Musiela, The Market Model of Interest Rate Dynamics, Mathematical Finance ,7, 127-155 (1997). [4] J. C. Cox, J. E. Ingersoll and S. A. Ross, A Theory of the Term Structure of Interest Rates, Econometrica, 53, 385-407 (1985). [5] P. S. Hagan, D. Kumar, A. S. Lesniewski, D. E. Woodward, Managing Smile Risk, Working papper, (2002). [6] D. Heath, R. Jarrow, and A. Morton, Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation, The Journal of Financial and Quantitative Analysis, 25, 419-440 (1990) [7] J. Hull and A. White, Pricing Interest-Rate Derivative Securities, The Review of Financial Studies, 3, 573-592 (1990). [8] J. Hull and A. White, Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model, The Journal of Fixed Income, 10, 46--62 (2000). [9] T. S. Y. Ho, S. B. Lee, Term Structure Movements and Pricing Interest Rate Contingent Claims, Journal of Finance, 41, (1986). [10] F. Jamshidian, LIBOR and Swap Market Models and Measures, Finance and Stochastics, 1, 293-330 (1997) [11] A. Kawai, Analytical and Mote Carlo Swaption Pricing under the Forward Swap Measure, Journal of Computational Finance, 6, 101-111 (2002) [12] F. A. Longstaff, and E. S. Schwartz, Valuing American Options by Simulation:a Simple Least-Square Approach, The Reviews of Financial Studies, 14, 113-147 (2001). [13] V. V. Piterbarg, Computing Deltas of Callable Libor Exotic in Forward Libor Models, Journal of Computational Finance, 7, 107-144 (2004). [14] Vasicek, An Equilibrium Characterization of the Term Structure, Journal of Financial Ecnomics, 5, (1997). [15] P. Weigel, Optimal Calibration of LIBOR Market Models to Correlations, The Journal of Derivatives, 12, 43-50 (2004). [16] 陳松男,利率金融工程學,新陸書局,2006。 [17] 蔡宗儒,LIBOR新奇選擇權之評價---以最小平方蒙地卡羅法為例,國立政治大學碩士論文 (2006)。 |
描述: | 碩士 國立政治大學 應用數學研究所 95751012 98 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0095751012 | 資料類型: | thesis |
Appears in Collections: | 學位論文 |
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