English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113648/144635 (79%)
Visitors : 51653822      Online Users : 341
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/135941


    Citation Infomation
    Loading...
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/135941


    Title: GSMM模型下可贖回固定期限交換價差區間計息型商品評價與敏感度分析
    Valuation and Sensitivity Analysis of Callable Range Accrual Linked to CMS Spread under Generalized Swap Market Models
    Authors: 黃子瑋
    Huang, Zi-Wei
    Contributors: 林士貴
    Lin, Shih-Kuei
    黃子瑋
    Huang, Zi-Wei
    Keywords: 利率衍生性商品
    固定期限交換利率
    區間計息型商品
    一般化交換利率市場模型
    最小平方蒙地卡羅模擬法
    敏感度分析
    Interest Rate Derivative
    Constant Maturity Swap
    Range Accrual
    Generalized Swap Market Model
    Least Squares Monte Carlo Simulation
    Sensitivity Analysis
    Date: 2021
    Issue Date: 2021-07-01 18:04:02 (UTC+8)
    Abstract: 因應現今金融市場環境,以及高資產客戶或機構法人在避險和風險管理上的需求,相關利率類衍生性金融商品的交易量也快速地成長。此外,在巴賽爾銀行監督委員會 (Basel Committee on Banking Supervision, BCBS) 之「交易簿的基礎原則審視」(Fundamental Review of the Trading Book, FRTB) 新規範下,對於市場風險之管控和估計也更加重視。本論文以市場上常見可贖回固定期限交換 (Constant Maturity Swap, CMS) 利率價差區間計息型商品做為評價對象,透過一般化交換市場模型 (Generalized Swap Market Model, GSMM),以及最小平方蒙地卡羅法 (Least Squares Monte Carlo method, LSMC) 計算商品之模擬價值,並進行敏感度分析 (Sensitivity analysis) 求得相關避險參數,最後從商品的評價面以及風險管理面做相關之研究分析。
    In the recent financial market environment, relevant interest rate derivatives have grown rapidly because of the needs of high net worth individuals and institutional investors for hedging and risk management purposes. Moreover, in the new norm of FRTB established by BCBS, it pays more attention to market risk management and measurement. In this paper, we price the product of interest rate derivatives for the callable range accrual linked to CMS spread which is the common financial instrument traded in the market by LSMC under GSMMs. Additionally, we evaluate the value of this product and calculate the relevant Greeks by sensitivity analysis. Finally, we discuss and analyze the empirical results from valuation and risk management sides.
    Reference: 中文部分
    1.王韋之 (2020)。可贖回 CMS 價差區間計息型商品之評價分析 : 基於 LFM 與最小平方蒙地卡羅法之模擬加速實證。國立政治大學金融研究所碩士論文。
    2.陳松男 (2006)。利率金融工程學-理論模型及實務應用。台北:新陸書局。

    英文部分
    1.Benmakhlouf Andaloussi, M. (2019). The Swap Market Model with Local Stochastic Volatility. In.
    2.Black, F., Derman, E., & Toy, W. (1990). A one-factor model of interest rates and its application to treasury bond options. Financial Analysts Journal, 46(1), 33-39.
    3.Boyle, P. P. (1977). Options: A monte carlo approach. Journal of Financial Economics, 4(3), 323-338.
    4.Boyle, P. P. (1988). A lattice framework for option pricing with two state variables. Journal of Financial and Quantitative Analysis, 1-12.
    5.Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155.
    6.Brigo, D., & Mercurio, F. (2007). Interest rate models-theory and practice: with smile, inflation and credit: Springer Science & Business Media.
    7.Broadie, M., & Glasserman, P. (2004). A stochastic mesh method for pricing high-dimensional American options. Journal of Computational Finance, 7, 35-72.
    8.Chen, R.-R., Hsieh, P.-L., & Huang, J. (2018). It is time to shift log-normal. The Journal of Derivatives, 25(3), 89-103.
    9.Cox, J. C., Ingersoll Jr, J. E., & Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53(2), 385-407.
    10.Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229-263.
    11.Galluccio, S., Ly, J. M., Huang, Z., & Scaillet, O. (2007). Theory and calibration of swap market models. Mathematical Finance, 17(1), 111-141.
    12.Heath, D., Jarrow, R., & Morton, A. (1992). Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica: Journal of the Econometric Society, 77-105.
    13.Ho, T. S., & Lee, S. B. (1986). Term structure movements and pricing interest rate contingent claims. The Journal of Finance, 41(5), 1011-1029.
    14.Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. The Review of Financial Studies, 3(4), 573-592.
    15.Jamshidian, F. (1997). LIBOR and swap market models and measures. Finance and Stochastics, 1(4), 293-330.
    16.Kamrad, B., & Ritchken, P. (1991). Multinomial approximating models for options with k state variables. Management Science, 37(12), 1640-1652.
    17.Longstaff, F. A., & Schwartz, E. S. (2001). Valuing American options by simulation: a simple least-squares approach. The Review of Financial Studies, 14(1), 113-147.
    18.Moreno, M., & Navas, J. F. (2003). On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives. Review of Derivatives Research, 6(2), 107-128.
    19.Parkinson, M. (1977). Option pricing: the American put. The Journal of Business, 50(1), 21-36.
    20.Rebonato, R. (2005). Volatility and correlation: the perfect hedger and the fox: John Wiley & Sons.
    21.Rendleman, R. J. (1979). Two-state option pricing. The Journal of Finance, 34(5), 1093-1110.
    22.Tilley, J. A. (1993). Valuing American options in a path simulation model. Paper presented at the Transactions of the Society of Actuaries.
    23.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188.
    24.Zhu, J. (2007). Generalized swap market model and the valuation of interest rate derivatives. Available at SSRN 1028710.
    Description: 碩士
    國立政治大學
    金融學系
    108352024
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0108352024
    Data Type: thesis
    DOI: 10.6814/NCCU202100584
    Appears in Collections:[金融學系] 學位論文

    Files in This Item:

    File Description SizeFormat
    202401.pdf1622KbAdobe PDF20View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©  2006-2024  - Feedback