| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.author (Authors) | 曾鼎翔 | zh_TW |
| dc.creator (作者) | 曾鼎翔 | zh_TW |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:35:05 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:35:05 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:35:05 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0923520281 | en_US |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=32495 | - |
| 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) | 92352028 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 本文採用市場模型(The LIBOR Market Model)來評價反浮動利率債劵，之前評價利率衍生性商品大多採用Hull and White 模型，而本文改採用LIBOR Market Model來評價反浮動利率商品，使用此模型的好處在於LIBOR Market Model是將HJM模型間斷化，而直接推導出市場上可以觀察到的LIBOR利率的隨機過程，用它來描述市場利率期間結構，同時也必須考慮LIBOR利率的波動度，而透過實際市場資料的校準以符合市場上的利率期間結構以及波動結構，來對衍生性商品做定價與避險。\r\n\r\n實證部分以法國巴黎銀行所發行的BNP反浮動利率連動債來做例子，利用LIBOR Market Model並做蒙地卡羅法做模擬，進而求得商品價格以及避險參數Delta值。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論……………………………………………………………1\r\n\r\n第一節 研究動機…………………………………………………………….1\r\n\r\n第二節 研究目的…………………………………………………………….3\r\n\r\n第三節 研究架構…………………………………………………………….3\r\n\r\n第二章 文獻回顧……………………………………………………..5\r\n\r\n第一節 利率連結商品介紹………………………………………………….5\r\n\r\n第二節 利率模型發展過程………………………………………………….7\r\n\r\n\r\n第三章 評價方法……………………………………………………..14\r\n\r\n第一節 LIBOR Market Model……………………………………………….14\r\n\r\n第二節 模型架構介紹……………………………………………………….14\r\n\r\n第三節 遠期LIBOR利率模型……………………………………………….15\r\n\r\n第四節 測度轉換…………………………………………………………….19\r\n\r\n第五節 衍生性商品評價…………………………………………………….22\r\n\r\n第四章 實證分析………………………………………………………26\r\n\r\n\r\n第五章 避險分析……………………………………………………..42\r\n\r\n第一節 避險方式介紹……………………………………………………..42\r\n\r\n第二節 避險參數分析……………………………………………………..43\r\n\r\n第六章 結論與建議……………………………………………………………44\r\n\r\n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/#G0923520281 | en_US |
| dc.subject (關鍵詞) | 市場模型 | zh_TW |
| dc.subject (關鍵詞) | 反浮動利率債劵 | zh_TW |
| dc.title (題名) | 市場模型下評價反浮動利率債劵 | zh_TW |
| dc.type (資料類型) | thesis | en |
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| dc.relation.reference (參考文獻) | 2、Cox,J.C.,J.E.Ingersoll,Jr., and S.A.Ross,(1985),A theory of the term structure of interest rates. Econometerica,53,385-407. | zh_TW |
| dc.relation.reference (參考文獻) | 3、Damiano Brigo and Fabio Mercurio. Interest Rate Models Theory and practice. | zh_TW |
| dc.relation.reference (參考文獻) | 4、Heath,D.,R.Jarrow, and A. Morton. (1990). Bond pricing and the term structure of interest rates. Econometrica. 53,385-407 | zh_TW |
| dc.relation.reference (參考文獻) | 5、Heath,D.,R.Jarrow, and A. Morton. (1992).Bond pricing and the term structure of interest rates: anew methodology for contingent claims valuation.Econometrica.60,77-105. | zh_TW |
| dc.relation.reference (參考文獻) | 6、Ho,T.S.Y.,ands.B.Lee,(1986),Term structure movements and pricing interest rate contingent claims. Journal of Finance. | zh_TW |
| dc.relation.reference (參考文獻) | 7、Hull,J.C. and A. White,(1990),Pricing interest-rate-derivative securities. Review of Financial Studies,3,423-440. | zh_TW |
| dc.relation.reference (參考文獻) | 8、Hull,J.C. and A. White,(1993),Bond option based on a model for the evolution of bond prices. Advances in Futures and Options Research,6,1-3. | zh_TW |
| dc.relation.reference (參考文獻) | 9、Hull,J.C. and A. White,(2000),Forward Rate Volatilities,Swap Rate Volatilities, and The Implementation of The LIBOR Market Model, Journal of Fixed Income. | zh_TW |
| dc.relation.reference (參考文獻) | 10、Jamshidian,F.(1997).LIBOR and swap market models and measures. Finance and Stochastics.1,293-330. | zh_TW |
| dc.relation.reference (參考文獻) | 11、Longstaff,F.A. and E. Schwartz. (1992). Interest rate volatility and the termstructure: a two-factor general equilibrium model. Journal of Finance.47,1259-1282. | zh_TW |
| dc.relation.reference (參考文獻) | 12、Miltersen,K.,K. Sandmann, and D.Sondermann.(1997).Closed form solutions for term structure derivatives with lognormal interest rate.Journal of Finance.52,409-430. | zh_TW |
| dc.relation.reference (參考文獻) | 13、Yan,H.(2001).Dynamic models of the term structure.Financial Analysts Journal.60-76. | zh_TW |
