| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.author (Authors) | 黃珮菁 | zh_TW |
| dc.creator (作者) | 黃珮菁 | zh_TW |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:26:30 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:26:30 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:26:30 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0091352006 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31153 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 91352006 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 本論文的研究目的是提供路徑相依利率結構型債券一個簡便而實用的評價模型，透過機率測度的轉換，推導出遠期LIBOR利率的動態過程，藉以進行蒙地卡羅的模擬，使用BGM蒙地卡羅法的好處在於只要模擬出未來時點的利率期間結構，無論產品條件如何改變，都可經由調整最後的收益型態，就可快速評價出產品價格。 在實證上，本文評價的商品，為市場上實際發行與銷售的路徑相依利率連動債券，其特色為履約價格的重設為一個路徑函數的型態，藉由推導出的模型方法，對產品訂出理論價格，並建構發行商的避險策略，與避險參數的分析，探討實務上產品發行與風險管理的執行方法。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 1.1 研究動機 1.2 研究目的 1.3 研究架構 第二章 文獻探討 2.1 利率連動債券發展 2.2 利率訂價模型 第三章 評價模型 3.1 模型設定 3.2 路徑相依利率選擇權型態 第四章 實證研究 4.1 路徑相依利率連動債券報酬與風險分析 4.2 路徑相依利率連動債券之訂價 4.3 波動度結構校準與價格分析 第五章 風險管理 5.1 發行商避險策略分析 5.2 避險參數分析 第六章 結論與建議 參考文獻 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0091352006 | en_US |
| dc.subject (關鍵詞) | 市場模型 | zh_TW |
| dc.subject (關鍵詞) | 蒙地卡羅模擬法 | zh_TW |
| dc.subject (關鍵詞) | 路徑相依利率選擇權 | zh_TW |
| dc.title (題名) | 路徑相依利率結構型債券之評價 | zh_TW |
| dc.type (資料類型) | thesis | en |
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