| dc.contributor | 金融系 | |
| dc.creator (作者) | 江彌修 | |
| dc.date (日期) | 2017-10 | |
| dc.date.accessioned | 7-Apr-2026 13:17:22 (UTC+8) | - |
| dc.date.available | 7-Apr-2026 13:17:22 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-Apr-2026 13:17:22 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=181926 | - |
| dc.description.abstract (摘要) | 本研究計晝就通膨指數型衍生性商品之評價及避險提出三個面相的探討：第一，基於商品之評價，現有實證文獻廣泛指出通膨指數的歷史時間序列具有馬可夫轉換或結構性變動的特質，因此藉由一馬可夫過程所調控之實質利率、名目利率及通膨指數動態過程有其必要性， 我們因此提出以馬可夫調控之狀態轉換跳躍擴散過程(Markov-modulated jump-diffusion)來描述通膨指數的動態。我們將嘗試透過Esscher transform來辨認適當的平賭測度以建立商品評價之架構。第二，由於多重風險面的互動，此類商品的評價隸屬於不完備市場下的評價問題，如何確切地選擇其評價測度實為不可缺失的重要環節。就此，我們將引入Cochrane and Saa-Requejo (2000) good-deal bound的方法來探討不完備市場下最適平賭測度的選取。第三， 我們將嘗試在所建構的評價架構之下，進行商品的評價與風險分析。我們計晝分析的商品主要分為三類，利率相關，權益相關，及信用違約相關。基於現有文獻發現通膨風險與橫斷面公司債報酬率有關，且通膨不確定性會使信用價差水準及信用價差變異增加，能夠解釋部分信用價差溢酬，我們認為在信用相關之商品的評價上必須架構在馬可夫調控狀態轉換下才能夠考量較為全面的通膨與信用風險相關性結構。 | |
| dc.description.abstract (摘要) | In this proposal, we explore three important aspects constituting the pricing and hedging of liquidity-indexed derivative products. First, we propose a Markov-modulated jump-diffusion process for the dynamics of inflation to account for possible structural changes in the macroeconomic condition. We attempt to identify an appropriate martingale measure through the random Esscher transform. Second, being in a Markovian regime-switching market where jump risks are unhedgeable, a unique identification of the pricing measure may not be feasible. Under such incomplete market setting, we therefore resort to the good-deal bound approach of Cochrane and Saa-Requejo (2000) to narrow down the possible range of martingale measures. Third, we aim to employ the proposed framework to the pricing and hedging of inflation-linked derivatives. The hybrid structures that we consider in include: inflation-indexed caplets and floorlets (interest-rate related), inflation-indexed equity options (equity related), and inflation-indexed credit default swaps (credit related). We argue that, when considering the joint impacts of inflation and credit risks, how the correlation structure evolves between the dual aspects of uncertainties must be carefully examined. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST105-2410-H004-083, 105.08-106.07 | |
| dc.title (題名) | 非完備馬可夫調控跳躍擴散市場下通膨指數型衍生性商品之評價 | |
| dc.title (題名) | Pricing Inflation-Indexed Derivatives under an Incomplete Markov-Modulated Jump Diffusion Market | |
| dc.type (資料類型) | report | |
