Please use this identifier to cite or link to this item: 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。
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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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