| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.advisor | Liao, Szu Lang | en_US |
| dc.contributor.author (Authors) | 徐保鵬 | zh_TW |
| dc.contributor.author (Authors) | Hsu, Pao Peng | en_US |
| dc.creator (作者) | 徐保鵬 | zh_TW |
| dc.creator (作者) | Hsu, Pao Peng | en_US |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:33:18 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:33:18 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:33:18 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0913525021 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31219 | - |
| dc.description (描述) | 博士 | 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) | 91352502 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | This dissertation analyzes the pricing and hedging problems for quanto range accrual note under the HJM-framework with Levy processes for instantaneous domestic and foreign forward interest rates. We consider both the effects of jump risks of interest rate and exchange rate on the pricing of the notes. The pricing formula for quanto double interest rate digital option and quanto contingent payoff option are first derived, then we apply the method proposed by Turnbull(1995) to duplicate the qaunto range accrual note by a combination of the quanto double interest rate digital option and the qunato contingent payoff option. Furthermore, using the pricing formulas derived in this paper, we obtain the hedging position for each issue of range accrual notes. In addition, by simulation and assuming the jump to be compound Poisson process, we further analyze the effects of jump risk and exchange rate risk on the coupons receivable in holding a range accrual note. | zh_TW |
| dc.description.abstract (摘要) | This dissertation analyzes the pricing and hedging problems for quanto range accrual note under the HJM-framework with Levy processes for instantaneous domestic and foreign forward interest rates. We consider both the effects of jump risks of interest rate and exchange rate on the pricing of the notes. The pricing formula for quanto double interest rate digital option and quanto contingent payoff option are first derived, then we apply the method proposed by Turnbull(1995) to duplicate the qaunto range accrual note by a combination of the quanto double interest rate digital option and the qunato contingent payoff option. Furthermore, using the pricing formulas derived in this paper, we obtain the hedging position for each issue of range accrual notes. In addition, by simulation and assuming the jump to be compound Poisson process, we further analyze the effects of jump risk and exchange rate risk on the coupons receivable in holding a range accrual note. | en_US |
| dc.description.tableofcontents | TABLE OF CONTENTS Table of Contents ii Acknowledgement iii List of Tables iv Preface v Pricing and Hedging of Quanto Range Accrual Notes under Gaussian HJM with Cross- Currency Levy Processes Abstract 1 1. Introduction 2 2. The Model 7 2.1 The Setting 7 2.2 Tools for Changing Measures 11 3. Pricing 16 3.1 Digital Options 16 3.2 Valuation of Quanto Floating Range Accrual Notes 20 4. Hedging Quanto Floating Range Accrual Note 26 5. Numerical Analysis 30 6. Conclusion 33 7. Notes 35 Appendix A 37 Appendix B 40 Reference 47 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0913525021 | en_US |
| dc.subject (關鍵詞) | 區間票息債券 | zh_TW |
| dc.subject (關鍵詞) | Range Accrual Notes | en_US |
| dc.subject (關鍵詞) | Compound-Poisson jump | en_US |
| dc.subject (關鍵詞) | Hedging Strategy | en_US |
| dc.title (題名) | 跨國經濟體系下Quanto Range Accrual Notes的評價與避險 | zh_TW |
| dc.title (題名) | Pricing and Hedging of Quanto Range Accrual Notes under Gaussian HJM with Cross- Currency Levy Processes | en_US |
| dc.type (資料類型) | thesis | en |
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