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題名 運用最小平方蒙地卡羅與類神經網路法評價可贖回永續債券
Pricing the callable perpetual bonds with least squares Monte Carlo & artificial neural network method作者 蔡維豪
Tsai, Wei-Hao貢獻者 林士貴<br>莊明哲
Lin, Shih-Kuei<br>Chuang, Ming-Che
蔡維豪
Tsai, Wei-Hao關鍵詞 可贖回永續債券
最小平方蒙地卡羅模擬法
類神經網路
Hull & White模型
Callable perpetual bonds
Least squares Monte Carlo simulation approach
Neural network
Hull & White model日期 2018 上傳時間 12-Jul-2018 13:42:05 (UTC+8) 摘要 本研究以可贖回永續債券為評價目標，引用Hull & White (1990)模型刻劃短期利率之動態過程，首先運用Longstaff & Schwartz (2001)所提出之最小平方蒙地卡羅模擬法(Least Squares Monte Carlo Simulation Approach)進行評價，其計算方法簡單且直覺，且可有效地評價具有路徑相依特性之金融商品。再將原方法所使用之多元迴歸模型改以倒傳遞類神經網路模型替代，依據模型估計結果計算非線性關係下之繼續持有價值並進行後續評價，以提供另一種可贖回永續債券之評價方法。期望能透過本研究之成果，使投資人與發行機構對於可贖回永續債券之評價有一基礎之認知。
This study takes callable perpetual bonds as evaluation target, using the Hull & White (1990) model to characterize the dynamic process of short-term interest rates. Firstly, using the Least Squares Monte Carlo simulation approach proposed by Longstaff & Schwartz (2001), it is simple and intuitive, and can effectively evaluate financial instruments with path-dependent characteristics. Then replace the multiple regression model used in the original method with the back-propagation neural network model, calculate the continuing holding value under the nonlinear relationship and carry out subsequent evaluation based on the model estimation results, to provide another evaluation method of callable perpetual bonds. It is expected that through the results of this research, investors and issuers will have a basic understanding of the evaluation of callable perpetual bonds.參考文獻 中文部分： 葉怡成，(2009)。類神經網路模式應用與實作。台北市：儒林出版社。 陳松男，(2006)。利率金融工程學：理論模型與實務應用。台北市：新陸書局。 陳松男，(2008)。金融工程學：金融商品創新選擇權理論。台北市：新陸書局。 英文部分： Brigo,D., & Mercurio,F., (2007).Interest rate models-theory and practice：with smile, inflation and credit., New York：Springer Science & Business Media. Barraquand, J., & Martineau, D. (1995).Numerical valuation of high dimensional multivariate American securities., Journal of Financial and Quantitative Analysis, 30(3), 383-405. 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. Brace, A., Gatarek, D., & Msiela, M. (1997).The market model of interest rate dynamics., Mathematical Finance, 7(2), 127-155. Carr, P., Jarrow, R., & Myneni, R. (1992).Alternative characterizations of American put options., Mathematical Finance, 2(2), 87-106. Cox, J. C., Ingersoll Jr, J. E., & Ross, S. A. (1985).A theory of the term structure of interest rates., Econometrica, 53(2), 385-408. Cybenko, G. (1989).Approximation by superpositions of a sigmoidal function., Mathematics of Control, Signals and Systems, 2(4), 303-314. Geske, R., & Johnson, H. E. (1984).The American put option valued analytically., The Journal of Finance, 39(5), 1511-1524. Grant, D., Vora, G., & Weeks, D. (1996).Simulation and the early exercise option problem., Journal of Financial Engineering, 5(3), 211-227. Heath, D., Jarrow, R., & Morton, A. (1992).Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica, 60(1), 77-105. Ho, T. S., & LEE, S. B. (1986). Term structure movements and pricing interest rate contingent claims., The Journal of Finance, 41(5), 1011-1029. Huang, J. Z., Subrahmanyam, M. G., & Yu, G. G. (1996).Pricing and hedging American options：a recursive integration method., The Review of Financial Studies, 9(1), 277-300. Hull, J., & White, A. (1990).Pricing interest-rate-derivative securities., The Review of Financial Studies, 3(4), 573-592. Hull, J., & White, A. (1993).One-factor interest-rate models and the valuation of interest-rate derivative securities., Journal of Financial and Quantitative Analysis, 28(2), 235-254. Hull, J., & White, A. (1994).Numerical procedures for implementing term structure models I：single-factor models., Journal of Derivatives, 2(1), 7-16. Hull, J., & White, A. (1994).Numerical procedures for implementing term structure models II：two-factor models., Journal of Derivatives, 2(2), 37-48. Jamshidian, F. (1997).LIBOR and swap market models and measures., Finance and Stochastics, 1(4), 293-330. 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. Merton, R. C. (1973).Theory of rational option pricing., The Bell Journal of economics and Management Science, 4(1), 141-183. Raymar, S., & Zwecher, M. (1997).Monte Carlo estimation of American call options on the maximum of several stocks., Journal of Derivatives, 5(1), 7-23. Riedmiller, M., & Braun, H. (1993).A direct adaptive method for faster backpropagation learning：The RPROP algorithm., In Neural Networks, 1993.,IEEE International Conference on. IEEE., 586-591. Stentoft, L. (2004).Convergence of the least squares Monte Carlo approach to American option valuation., Management Science, 50(9), 1193-1203. Tilley, J. A., (1993).Valuing American options in a path simulation model., Transactions of the Society of Actuaries, 45, 499-520. Vasicek, O. (1977).An equilibrium characterization of the term structure., Journal of Financial Economics, 5(2), 177-188. 描述 碩士
國立政治大學
金融學系
105352027資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105352027 資料類型 thesis dc.contributor.advisor 林士貴<br>莊明哲 zh_TW dc.contributor.advisor Lin, Shih-Kuei<br>Chuang, Ming-Che en_US dc.contributor.author (Authors) 蔡維豪 zh_TW dc.contributor.author (Authors) Tsai, Wei-Hao en_US dc.creator (作者) 蔡維豪 zh_TW dc.creator (作者) Tsai, Wei-Hao en_US dc.date (日期) 2018 en_US dc.date.accessioned 12-Jul-2018 13:42:05 (UTC+8) - dc.date.available 12-Jul-2018 13:42:05 (UTC+8) - dc.date.issued (上傳時間) 12-Jul-2018 13:42:05 (UTC+8) - dc.identifier (Other Identifiers) G0105352027 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118607 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 105352027 zh_TW dc.description.abstract (摘要) 本研究以可贖回永續債券為評價目標，引用Hull & White (1990)模型刻劃短期利率之動態過程，首先運用Longstaff & Schwartz (2001)所提出之最小平方蒙地卡羅模擬法(Least Squares Monte Carlo Simulation Approach)進行評價，其計算方法簡單且直覺，且可有效地評價具有路徑相依特性之金融商品。再將原方法所使用之多元迴歸模型改以倒傳遞類神經網路模型替代，依據模型估計結果計算非線性關係下之繼續持有價值並進行後續評價，以提供另一種可贖回永續債券之評價方法。期望能透過本研究之成果，使投資人與發行機構對於可贖回永續債券之評價有一基礎之認知。 zh_TW dc.description.abstract (摘要) This study takes callable perpetual bonds as evaluation target, using the Hull & White (1990) model to characterize the dynamic process of short-term interest rates. Firstly, using the Least Squares Monte Carlo simulation approach proposed by Longstaff & Schwartz (2001), it is simple and intuitive, and can effectively evaluate financial instruments with path-dependent characteristics. Then replace the multiple regression model used in the original method with the back-propagation neural network model, calculate the continuing holding value under the nonlinear relationship and carry out subsequent evaluation based on the model estimation results, to provide another evaluation method of callable perpetual bonds. It is expected that through the results of this research, investors and issuers will have a basic understanding of the evaluation of callable perpetual bonds. en_US dc.description.tableofcontents 第一章 緒論 1 第一節 研究動機與目的 1 第二節 研究架構 2 第二章 文獻回顧 3 第一節 美式選擇權評價 3 第二節 利率模型簡介 4 第三節 類神經網路簡介 7 第三章 研究方法 13 第一節 可贖回永續債券評價模式 13 第二節 短期利率模型與違約機率 15 第三節 最後付息時點選擇法 17 第四節 最小平方蒙地卡羅評價法 18 第五節 類神經網路評價法 21 第四章 實證結果 27 第一節 商品介紹 27 第二節 參數估計與評價結果 29 第三節 敏感度分析 34 第五章 結論 37 參考文獻 38 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105352027 en_US dc.subject (關鍵詞) 可贖回永續債券 zh_TW dc.subject (關鍵詞) 最小平方蒙地卡羅模擬法 zh_TW dc.subject (關鍵詞) 類神經網路 zh_TW dc.subject (關鍵詞) Hull & White模型 zh_TW dc.subject (關鍵詞) Callable perpetual bonds en_US dc.subject (關鍵詞) Least squares Monte Carlo simulation approach en_US dc.subject (關鍵詞) Neural network en_US dc.subject (關鍵詞) Hull & White model en_US dc.title (題名) 運用最小平方蒙地卡羅與類神經網路法評價可贖回永續債券 zh_TW dc.title (題名) Pricing the callable perpetual bonds with least squares Monte Carlo & artificial neural network method en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文部分： 葉怡成，(2009)。類神經網路模式應用與實作。台北市：儒林出版社。 陳松男，(2006)。利率金融工程學：理論模型與實務應用。台北市：新陸書局。 陳松男，(2008)。金融工程學：金融商品創新選擇權理論。台北市：新陸書局。 英文部分： Brigo,D., & Mercurio,F., (2007).Interest rate models-theory and practice：with smile, inflation and credit., New York：Springer Science & Business Media. Barraquand, J., & Martineau, D. (1995).Numerical valuation of high dimensional multivariate American securities., Journal of Financial and Quantitative Analysis, 30(3), 383-405. 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. Brace, A., Gatarek, D., & Msiela, M. (1997).The market model of interest rate dynamics., Mathematical Finance, 7(2), 127-155. Carr, P., Jarrow, R., & Myneni, R. (1992).Alternative characterizations of American put options., Mathematical Finance, 2(2), 87-106. Cox, J. C., Ingersoll Jr, J. E., & Ross, S. A. (1985).A theory of the term structure of interest rates., Econometrica, 53(2), 385-408. Cybenko, G. (1989).Approximation by superpositions of a sigmoidal function., Mathematics of Control, Signals and Systems, 2(4), 303-314. Geske, R., & Johnson, H. E. (1984).The American put option valued analytically., The Journal of Finance, 39(5), 1511-1524. Grant, D., Vora, G., & Weeks, D. (1996).Simulation and the early exercise option problem., Journal of Financial Engineering, 5(3), 211-227. Heath, D., Jarrow, R., & Morton, A. (1992).Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica, 60(1), 77-105. Ho, T. S., & LEE, S. B. (1986). Term structure movements and pricing interest rate contingent claims., The Journal of Finance, 41(5), 1011-1029. Huang, J. Z., Subrahmanyam, M. G., & Yu, G. G. (1996).Pricing and hedging American options：a recursive integration method., The Review of Financial Studies, 9(1), 277-300. Hull, J., & White, A. (1990).Pricing interest-rate-derivative securities., The Review of Financial Studies, 3(4), 573-592. Hull, J., & White, A. (1993).One-factor interest-rate models and the valuation of interest-rate derivative securities., Journal of Financial and Quantitative Analysis, 28(2), 235-254. Hull, J., & White, A. (1994).Numerical procedures for implementing term structure models I：single-factor models., Journal of Derivatives, 2(1), 7-16. Hull, J., & White, A. (1994).Numerical procedures for implementing term structure models II：two-factor models., Journal of Derivatives, 2(2), 37-48. Jamshidian, F. (1997).LIBOR and swap market models and measures., Finance and Stochastics, 1(4), 293-330. 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. Merton, R. C. (1973).Theory of rational option pricing., The Bell Journal of economics and Management Science, 4(1), 141-183. Raymar, S., & Zwecher, M. (1997).Monte Carlo estimation of American call options on the maximum of several stocks., Journal of Derivatives, 5(1), 7-23. Riedmiller, M., & Braun, H. (1993).A direct adaptive method for faster backpropagation learning：The RPROP algorithm., In Neural Networks, 1993.,IEEE International Conference on. IEEE., 586-591. Stentoft, L. (2004).Convergence of the least squares Monte Carlo approach to American option valuation., Management Science, 50(9), 1193-1203. Tilley, J. A., (1993).Valuing American options in a path simulation model., Transactions of the Society of Actuaries, 45, 499-520. Vasicek, O. (1977).An equilibrium characterization of the term structure., Journal of Financial Economics, 5(2), 177-188. zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.MB.018.2018.F06 -
