| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.author (作者) | 曹若玹 | zh_TW |
| dc.creator (作者) | 曹若玹 | zh_TW |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 17-九月-2009 19:02:32 (UTC+8) | - |
| dc.date.available | 17-九月-2009 19:02:32 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-九月-2009 19:02:32 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0093352009 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/33991 | - |
| 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) | 93352009 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 本文採用Lognormal Forward LIBOR Model (LFM) 利率模型，針對可贖回雪球式債券進行相關的評價與避險分析，而由於此商品的計息方式為路徑相依型態，價格沒有封閉解，故必須利用數值方法來進行評價。過去通常使用二元樹或三元樹的方法來評價具有可贖回特性的商品，但因為LFM是屬於多因子模型，所以不容易處理建樹的過程。而一般路徑相依商品的評價是使用蒙地卡羅法來進行，但是標準的蒙地卡羅法不易處理美式或百慕達式選擇權的問題，因此，本研究將使用由Longstaff and Schwartz(2001)所提出的最小平方蒙地卡羅法，來處理同時具有可贖回與路徑相依特性的商品評價並進行實證研究。
此外，關於可贖回商品的避險參數部分，由於商品的價格函數不具有連續性，若在蒙地卡羅法之下直接使用重新模擬的方式來求算避險參數，將會造成不準確的結果，而Piterbarg (2004)提出了兩種可用來計算在LFM下可贖回商品避險參數的方法，其實証結果發現所求出的避險參數結果較準確，因此本研究將此方法運用至可贖回雪球式利率連動債券，並分析各種參數變化對商品價格的影響大小，便於進行避險工作。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 第一節 研究動機 ………………………………………………………7 第二節 研究目的………………………………………………………8 第三節 研究架構………………………………………………………9第二章 文獻回顧 第一節 利率連動債券的演進…………………………………………11 第二節 利率連動債券的演… ………………………………………14第三章 模型評價 第一節 Lognormal Forward LIBOR Model (LFM)……………20 第二節 交換利率的評價 ………………………………………………33 第三節 LFM下的近似Swaption波動度………………………………36第四章 評價方法 第一節 蒙地卡羅模擬法 ……………………………………………42 第二節 最小平方蒙地卡羅法…………………………………………44 第三節 參數校準………………………………………………………50 第四節 避險參數(Greeks)的估計… ………………………………56第五章 商品實例 第一節 雪球式利率連動債券 …………………………………………67 第二節 建構期初殖利率曲線…………………………………………69 第三節 校準遠期利率瞬間波動度……………………………………73 第四節 校準遠期利率瞬間相關係數…………………………………77 第五節 商品評價………………………………………………………79 第六節 商品的風險管理………………………………………………84第六章 結論與建議 第一節 研究結論… ……………………………………………………87 第二節 建議……………………………………………………………89參考書目…………………………………………………………………………90附錄A ……………………………………………………………………………92 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0093352009 | en_US |
| dc.subject (關鍵詞) | 利率連動債券 | zh_TW |
| dc.subject (關鍵詞) | 最小平方蒙地卡羅 | zh_TW |
| dc.subject (關鍵詞) | 參數校準 | zh_TW |
| dc.subject (關鍵詞) | 提前贖回 | zh_TW |
| dc.subject (關鍵詞) | 避險參數 | zh_TW |
| dc.subject (關鍵詞) | BGM | en_US |
| dc.subject (關鍵詞) | LFM | en_US |
| dc.subject (關鍵詞) | LIBOR | en_US |
| dc.subject (關鍵詞) | Greeks | en_US |
| dc.subject (關鍵詞) | calibration | en_US |
| dc.subject (關鍵詞) | snowball | en_US |
| dc.subject (關鍵詞) | Sausage Monte Carlo | en_US |
| dc.subject (關鍵詞) | pathwise | en_US |
| dc.title (題名) | 可贖回雪球式商品的評價與避險 | zh_TW |
| dc.type (資料類型) | thesis | en |
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