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題名 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
Valuation and Sensitivity Analysis of Callable Range Accrual Linked to CMS Spread under Generalized Swap Market Models作者 黃子瑋
Huang, Zi-Wei貢獻者 林士貴
Lin, Shih-Kuei
黃子瑋
Huang, Zi-Wei關鍵詞 利率衍生性商品
固定期限交換利率
區間計息型商品
一般化交換利率市場模型
最小平方蒙地卡羅模擬法
敏感度分析
Interest Rate Derivative
Constant Maturity Swap
Range Accrual
Generalized Swap Market Model
Least Squares Monte Carlo Simulation
Sensitivity Analysis日期 2021 上傳時間 1-Jul-2021 18:04:02 (UTC+8) 摘要 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。
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.參考文獻 中文部分1.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。2.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。英文部分1.Benmakhlouf Andaloussi, M. (2019). The Swap Market Model with Local Stochastic Volatility. In.2.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), 33-39.3.Boyle, P. P. (1977). Options: A monte carlo approach. Journal of Financial Economics, 4(3), 323-338.4.Boyle, P. P. (1988). A lattice framework for option pricing with two state variables. Journal of Financial and Quantitative Analysis, 1-12.5.Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155.6.Brigo, D., & Mercurio, F. (2007). Interest rate models-theory and practice: with smile, inflation and credit: Springer Science & Business Media.7.Broadie, M., & Glasserman, P. (2004). A stochastic mesh method for pricing high-dimensional American options. Journal of Computational Finance, 7, 35-72.8.Chen, R.-R., Hsieh, P.-L., & Huang, J. (2018). It is time to shift log-normal. The Journal of Derivatives, 25(3), 89-103.9.Cox, J. C., Ingersoll Jr, J. E., & Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53(2), 385-407.10.Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229-263.11.Galluccio, S., Ly, J. M., Huang, Z., & Scaillet, O. (2007). Theory and calibration of swap market models. Mathematical Finance, 17(1), 111-141.12.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, 77-105.13.Ho, T. S., & Lee, S. B. (1986). Term structure movements and pricing interest rate contingent claims. The Journal of Finance, 41(5), 1011-1029.14.Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. The Review of Financial Studies, 3(4), 573-592.15.Jamshidian, F. (1997). LIBOR and swap market models and measures. Finance and Stochastics, 1(4), 293-330.16.Kamrad, B., & Ritchken, P. (1991). Multinomial approximating models for options with k state variables. Management Science, 37(12), 1640-1652.17.Longstaff, F. A., & Schwartz, E. S. (2001). Valuing American options by simulation: a simple least-squares approach. The Review of Financial Studies, 14(1), 113-147.18.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), 107-128.19.Parkinson, M. (1977). Option pricing: the American put. The Journal of Business, 50(1), 21-36.20.Rebonato, R. (2005). Volatility and correlation: the perfect hedger and the fox: John Wiley & Sons.21.Rendleman, R. J. (1979). Two-state option pricing. The Journal of Finance, 34(5), 1093-1110.22.Tilley, J. A. (1993). Valuing American options in a path simulation model. Paper presented at the Transactions of the Society of Actuaries.23.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188.24.Zhu, J. (2007). Generalized swap market model and the valuation of interest rate derivatives. Available at SSRN 1028710. 描述 碩士
國立政治大學
金融學系
108352024資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108352024 資料類型 thesis dc.contributor.advisor 林士貴 zh_TW dc.contributor.advisor Lin, Shih-Kuei en_US dc.contributor.author (Authors) 黃子瑋 zh_TW dc.contributor.author (Authors) Huang, Zi-Wei en_US dc.creator (作者) 黃子瑋 zh_TW dc.creator (作者) Huang, Zi-Wei en_US dc.date (日期) 2021 en_US dc.date.accessioned 1-Jul-2021 18:04:02 (UTC+8) - dc.date.available 1-Jul-2021 18:04:02 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2021 18:04:02 (UTC+8) - dc.identifier (Other Identifiers) G0108352024 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/135941 - 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) 108352024 zh_TW dc.description.abstract (摘要) 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 (摘要) 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第一節 研究動機 1第二節 研究目的 2第二章 文獻回顧 3第一節 利率模型 3第二節 GSMM 模型 5第三節 相關係數和波動度 6第四節 樹狀模型與最小平方蒙地卡羅法 10第三章 研究方法 13第一節 可贖回 CMS 價差區間計息型商品介紹 13第二節 殖利率曲線和起始交換利率曲線 16第三節 GSMM模型建構遠期交換利率 18第四節 參數估計與校驗過程 20第五節 商品評價與避險參數計算 23第四章 實證分析 27第一節 參數估計結果 27第二節 商品評價結果分析 37第三節 商品評價避險參數分析 39第五章 結論和展望 46第一節 研究結論 46第二節 未來展望 47參考文獻 49 zh_TW dc.format.extent 1660984 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108352024 en_US dc.subject (關鍵詞) 利率衍生性商品 zh_TW dc.subject (關鍵詞) 固定期限交換利率 zh_TW dc.subject (關鍵詞) 區間計息型商品 zh_TW dc.subject (關鍵詞) 一般化交換利率市場模型 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) 敏感度分析 zh_TW dc.subject (關鍵詞) Interest Rate Derivative en_US dc.subject (關鍵詞) Constant Maturity Swap en_US dc.subject (關鍵詞) Range Accrual en_US dc.subject (關鍵詞) Generalized Swap Market Model en_US dc.subject (關鍵詞) Least Squares Monte Carlo Simulation en_US dc.subject (關鍵詞) Sensitivity Analysis en_US dc.title (題名) 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 (題名) Valuation and Sensitivity Analysis of Callable Range Accrual Linked to CMS Spread under Generalized Swap Market Models en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文部分1.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。2.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。英文部分1.Benmakhlouf Andaloussi, M. (2019). The Swap Market Model with Local Stochastic Volatility. In.2.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), 33-39.3.Boyle, P. P. (1977). Options: A monte carlo approach. Journal of Financial Economics, 4(3), 323-338.4.Boyle, P. P. (1988). A lattice framework for option pricing with two state variables. Journal of Financial and Quantitative Analysis, 1-12.5.Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155.6.Brigo, D., & Mercurio, F. (2007). Interest rate models-theory and practice: with smile, inflation and credit: Springer Science & Business Media.7.Broadie, M., & Glasserman, P. (2004). A stochastic mesh method for pricing high-dimensional American options. Journal of Computational Finance, 7, 35-72.8.Chen, R.-R., Hsieh, P.-L., & Huang, J. (2018). It is time to shift log-normal. The Journal of Derivatives, 25(3), 89-103.9.Cox, J. C., Ingersoll Jr, J. E., & Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53(2), 385-407.10.Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229-263.11.Galluccio, S., Ly, J. M., Huang, Z., & Scaillet, O. (2007). Theory and calibration of swap market models. Mathematical Finance, 17(1), 111-141.12.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, 77-105.13.Ho, T. S., & Lee, S. B. (1986). Term structure movements and pricing interest rate contingent claims. The Journal of Finance, 41(5), 1011-1029.14.Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. The Review of Financial Studies, 3(4), 573-592.15.Jamshidian, F. (1997). LIBOR and swap market models and measures. Finance and Stochastics, 1(4), 293-330.16.Kamrad, B., & Ritchken, P. (1991). Multinomial approximating models for options with k state variables. Management Science, 37(12), 1640-1652.17.Longstaff, F. A., & Schwartz, E. S. (2001). Valuing American options by simulation: a simple least-squares approach. The Review of Financial Studies, 14(1), 113-147.18.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), 107-128.19.Parkinson, M. (1977). Option pricing: the American put. The Journal of Business, 50(1), 21-36.20.Rebonato, R. (2005). Volatility and correlation: the perfect hedger and the fox: John Wiley & Sons.21.Rendleman, R. J. (1979). Two-state option pricing. The Journal of Finance, 34(5), 1093-1110.22.Tilley, J. A. (1993). Valuing American options in a path simulation model. Paper presented at the Transactions of the Society of Actuaries.23.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188.24.Zhu, J. (2007). Generalized swap market model and the valuation of interest rate derivatives. Available at SSRN 1028710. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100584 en_US
