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題名 The Pricing and Hedging of Structured notes with Systematic Jump Risk: An Analysis of the USD Knock-Out Reversed Swap
作者 Wang, S. Y.;Lin, Shih-Kuei
林士貴
貢獻者 金融系
關鍵詞 USD knock-out reversed swap; Interest rate swap; Interest rate digital call; Caplet;
日期 2010.01
上傳時間 27-三月-2014 10:00:20 (UTC+8)
摘要 Most of the interest rate derivative pricing models are jump-diffusion models, where the jump risk is assumed diversifiable. In this paper, we propose a Heath–Jarrow–Morton model with systematic jump risk to derive the no-arbitrage condition using Esscher transformation. Based on the Heath–Jarrow–Morton model with systematic jump risk, the dynamic process of the LIBOR market model with systematic jump risk is then developed. By decomposing the USD knock-out reversed swap into three derivative components, i.e., interest rate swap, interest rate digital call (IRDC) and cap, the pricing of the swap can be obtained from the dynamic process of the LIBOR market model with systematic jump risk. We show how the swap issuers/investors can hedge the swap risk using these three derivative components. The numerical analyses are conducted to show the impact of jump risk on the values of IRDC, cap and swap.
關聯 International Review of Economics and Finance,19(1), 106-118
資料類型 article
dc.contributor 金融系en_US
dc.creator (作者) Wang, S. Y.;Lin, Shih-Kueien_US
dc.creator (作者) 林士貴-
dc.date (日期) 2010.01en_US
dc.date.accessioned 27-三月-2014 10:00:20 (UTC+8)-
dc.date.available 27-三月-2014 10:00:20 (UTC+8)-
dc.date.issued (上傳時間) 27-三月-2014 10:00:20 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/64935-
dc.description.abstract (摘要) Most of the interest rate derivative pricing models are jump-diffusion models, where the jump risk is assumed diversifiable. In this paper, we propose a Heath–Jarrow–Morton model with systematic jump risk to derive the no-arbitrage condition using Esscher transformation. Based on the Heath–Jarrow–Morton model with systematic jump risk, the dynamic process of the LIBOR market model with systematic jump risk is then developed. By decomposing the USD knock-out reversed swap into three derivative components, i.e., interest rate swap, interest rate digital call (IRDC) and cap, the pricing of the swap can be obtained from the dynamic process of the LIBOR market model with systematic jump risk. We show how the swap issuers/investors can hedge the swap risk using these three derivative components. The numerical analyses are conducted to show the impact of jump risk on the values of IRDC, cap and swap.en_US
dc.format.extent 460193 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) International Review of Economics and Finance,19(1), 106-118en_US
dc.subject (關鍵詞) USD knock-out reversed swap; Interest rate swap; Interest rate digital call; Caplet;en_US
dc.title (題名) The Pricing and Hedging of Structured notes with Systematic Jump Risk: An Analysis of the USD Knock-Out Reversed Swapen_US
dc.type (資料類型) articleen