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Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/38535
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dc.contributor.advisor陳松男zh_TW
dc.contributor.author李政儒zh_TW
dc.contributor.authorLee, Cheng Juen_US
dc.creator李政儒zh_TW
dc.creatorLee, Cheng Juen_US
dc.date2009en_US
dc.date.accessioned2010-04-09T05:10:33Z-
dc.date.available2010-04-09T05:10:33Z-
dc.date.issued2010-04-09T05:10:33Z-
dc.identifierG0095751012en_US
dc.identifier.urihttp://nccur.lib.nccu.edu.tw/handle/140.119/38535-
dc.description碩士zh_TW
dc.description國立政治大學zh_TW
dc.description應用數學研究所zh_TW
dc.description95751012zh_TW
dc.description98zh_TW
dc.description.abstract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。zh_TW
dc.description.tableofcontents第一章 緒論 \n 第一節 研究動機與目的 \n 第二節 論文架構 \n第二章 文獻回顧 \n第三章 研究方法 \n 第一節 市場模型 \n 第二節 模型參數校準 \n 第三節 最小平方蒙地卡羅法 \n第四章 12年期美金計價『利率區間』連動債券 \n 第一節 前言 \n 第二節 商品介紹 \n 第三節 情境分析 \n 第四節 評價 \n 第五節 模擬結果 \n 第六節 敏感度分析 \n 第七節 發行商策略與投資人策略 \n 第八節 本章小結 \n第五章 10年期美元計價息滿到期反浮動利率連動債券 \n 第一節 商品介紹 \n 第二節 情境分析 \n 第三節 評價 \n 第四節 模擬結果 \n 第五節 敏感度分析 \n 第六節 發行商策略與投資人策略 \n 第七節 本章小結 \n第六章 結論 \n參考書目zh_TW
dc.format.extent95838 bytes-
dc.format.extent125607 bytes-
dc.format.extent429187 bytes-
dc.format.mimetypeapplication/pdf-
dc.format.mimetypeapplication/pdf-
dc.format.mimetypeapplication/pdf-
dc.language.isoen_US-
dc.source.urihttp://thesis.lib.nccu.edu.tw/record/#G0095751012en_US
dc.subject市場模型zh_TW
dc.subject利率連動債券zh_TW
dc.subject提前贖回債券zh_TW
dc.subjectLibor Market Modelen_US
dc.subjectnterest Rate Structured Noteen_US
dc.subjectLeast-Squared Monte Carloen_US
dc.title結構型金融商品之評價--以利率連動債券為例zh_TW
dc.titleThe pricing of structured notes: Interest rate-linked producten_US
dc.typethesisen
dc.relation.reference[1] L. Anderson, and J. Andreasen, Volatility Skews and Extentions of the Libor Market Model, Applied Mathematical Finance, 7, 1-32 (2000).zh_TW
dc.relation.reference[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).zh_TW
dc.relation.reference[3] A. Brace, D. Gatarek and M. Musiela, The Market Model of Interest Rate Dynamics, Mathematical Finance ,7, 127-155 (1997).zh_TW
dc.relation.reference[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).zh_TW
dc.relation.reference[5] P. S. Hagan, D. Kumar, A. S. Lesniewski, D. E. Woodward, Managing Smile Risk, Working papper, (2002).zh_TW
dc.relation.reference[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)zh_TW
dc.relation.reference[7] J. Hull and A. White, Pricing Interest-Rate Derivative Securities, The Review of Financial Studies, 3, 573-592 (1990).zh_TW
dc.relation.reference[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).zh_TW
dc.relation.reference[9] T. S. Y. Ho, S. B. Lee, Term Structure Movements and Pricing Interest Rate Contingent Claims, Journal of Finance, 41, (1986).zh_TW
dc.relation.reference[10] F. Jamshidian, LIBOR and Swap Market Models and Measures, Finance and Stochastics, 1, 293-330 (1997)zh_TW
dc.relation.reference[11] A. Kawai, Analytical and Mote Carlo Swaption Pricing under the Forward Swap Measure, Journal of Computational Finance, 6, 101-111 (2002)zh_TW
dc.relation.reference[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).zh_TW
dc.relation.reference[13] V. V. Piterbarg, Computing Deltas of Callable Libor Exotic in Forward Libor Models, Journal of Computational Finance, 7, 107-144 (2004).zh_TW
dc.relation.reference[14] Vasicek, An Equilibrium Characterization of the Term Structure, Journal of Financial Ecnomics, 5, (1997).zh_TW
dc.relation.reference[15] P. Weigel, Optimal Calibration of LIBOR Market Models to Correlations, The Journal of Derivatives, 12, 43-50 (2004).zh_TW
dc.relation.reference[16] 陳松男，利率金融工程學，新陸書局，2006。zh_TW
dc.relation.reference[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)。zh_TW
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