| dc.contributor.advisor | 陳松男 | zh_TW |
| dc.contributor.author (作者) | 李政儒 | zh_TW |
| dc.contributor.author (作者) | Lee, Cheng Ju | en_US |
| dc.creator (作者) | 李政儒 | zh_TW |
| dc.creator (作者) | Lee, Cheng Ju | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 9-四月-2010 13:10:33 (UTC+8) | - |
| dc.date.available | 9-四月-2010 13:10:33 (UTC+8) | - |
| dc.date.issued (上傳時間) | 9-四月-2010 13:10:33 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0095751012 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/38535 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 應用數學研究所 | zh_TW |
| dc.description (描述) | 95751012 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 利率模型從早期的短期利率模型、遠期利率模型發展到現在的市場模型。在模型的概念上，已經從市場上不存在的瞬間連續利率修正到市場上可觀察的區間連續的遠期利率。而評價方法的進步，使得市場上發展出各式各樣的利率衍生性商品，其中付「提前贖回條款」的債券很常見。為吸引投資人，附提前贖回條款的債券往往伴隨著高配息。本文選用「12年期美金計價『利率區間』連動債券」與「十年期美元計價息滿到期反浮動利率連動債券」做個案分析，在市場模型之下，評價具提前贖回條款的債券。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 第一節 研究動機與目的 第二節 論文架構 第二章 文獻回顧 第三章 研究方法 第一節 市場模型 第二節 模型參數校準 第三節 最小平方蒙地卡羅法 第四章 12年期美金計價『利率區間』連動債券 第一節 前言 第二節 商品介紹 第三節 情境分析 第四節 評價 第五節 模擬結果 第六節 敏感度分析 第七節 發行商策略與投資人策略 第八節 本章小結 第五章 10年期美元計價息滿到期反浮動利率連動債券 第一節 商品介紹 第二節 情境分析 第三節 評價 第四節 模擬結果 第五節 敏感度分析 第六節 發行商策略與投資人策略 第七節 本章小結 第六章 結論 參考書目 | zh_TW |
| dc.format.extent | 95838 bytes | - |
| dc.format.extent | 125607 bytes | - |
| dc.format.extent | 429187 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0095751012 | en_US |
| dc.subject (關鍵詞) | 市場模型 | zh_TW |
| dc.subject (關鍵詞) | 利率連動債券 | zh_TW |
| dc.subject (關鍵詞) | 提前贖回債券 | zh_TW |
| dc.subject (關鍵詞) | Libor Market Model | en_US |
| dc.subject (關鍵詞) | nterest Rate Structured Note | en_US |
| dc.subject (關鍵詞) | Least-Squared Monte Carlo | en_US |
| dc.title (題名) | 結構型金融商品之評價--以利率連動債券為例 | zh_TW |
| dc.title (題名) | The pricing of structured notes: Interest rate-linked product | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | [1] L. Anderson, and J. Andreasen, Volatility Skews and Extentions of the Libor Market Model, Applied Mathematical Finance, 7, 1-32 (2000). | zh_TW |
| dc.relation.reference (參考文獻) | [2] F. Black, E. Derman, and W. Toy, A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options, Financial Analysts Journal, 3, 24-32 (1990). | zh_TW |
| dc.relation.reference (參考文獻) | [3] A. Brace, D. Gatarek and M. Musiela, The Market Model of Interest Rate Dynamics, Mathematical Finance ,7, 127-155 (1997). | zh_TW |
| dc.relation.reference (參考文獻) | [4] J. C. Cox, J. E. Ingersoll and S. A. Ross, A Theory of the Term Structure of Interest Rates, Econometrica, 53, 385-407 (1985). | zh_TW |
| dc.relation.reference (參考文獻) | [5] P. S. Hagan, D. Kumar, A. S. Lesniewski, D. E. Woodward, Managing Smile Risk, Working papper, (2002). | zh_TW |
| dc.relation.reference (參考文獻) | [6] D. Heath, R. Jarrow, and A. Morton, Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation, The Journal of Financial and Quantitative Analysis, 25, 419-440 (1990) | zh_TW |
| dc.relation.reference (參考文獻) | [7] J. Hull and A. White, Pricing Interest-Rate Derivative Securities, The Review of Financial Studies, 3, 573-592 (1990). | zh_TW |
| dc.relation.reference (參考文獻) | [8] J. Hull and A. White, Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model, The Journal of Fixed Income, 10, 46--62 (2000). | zh_TW |
| dc.relation.reference (參考文獻) | [9] T. S. Y. Ho, S. B. Lee, Term Structure Movements and Pricing Interest Rate Contingent Claims, Journal of Finance, 41, (1986). | zh_TW |
| dc.relation.reference (參考文獻) | [10] F. Jamshidian, LIBOR and Swap Market Models and Measures, Finance and Stochastics, 1, 293-330 (1997) | zh_TW |
| dc.relation.reference (參考文獻) | [11] A. Kawai, Analytical and Mote Carlo Swaption Pricing under the Forward Swap Measure, Journal of Computational Finance, 6, 101-111 (2002) | zh_TW |
| dc.relation.reference (參考文獻) | [12] F. A. Longstaff, and E. S. Schwartz, Valuing American Options by Simulation：a Simple Least-Square Approach, The Reviews of Financial Studies, 14, 113-147 (2001). | zh_TW |
| dc.relation.reference (參考文獻) | [13] V. V. Piterbarg, Computing Deltas of Callable Libor Exotic in Forward Libor Models, Journal of Computational Finance, 7, 107-144 (2004). | zh_TW |
| dc.relation.reference (參考文獻) | [14] Vasicek, An Equilibrium Characterization of the Term Structure, Journal of Financial Ecnomics, 5, (1997). | zh_TW |
| dc.relation.reference (參考文獻) | [15] P. Weigel, Optimal Calibration of LIBOR Market Models to Correlations, The Journal of Derivatives, 12, 43-50 (2004). | zh_TW |
| dc.relation.reference (參考文獻) | [16] 陳松男，利率金融工程學，新陸書局，2006。 | zh_TW |
| dc.relation.reference (參考文獻) | [17] 蔡宗儒，LIBOR新奇選擇權之評價---以最小平方蒙地卡羅法為例，國立政治大學碩士論文 (2006)。 | zh_TW |
