English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113822/144841 (79%)
Visitors : 51775065      Online Users : 333
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 140.119/31153
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31153


    Title: 路徑相依利率結構型債券之評價
    Authors: 黃珮菁
    Contributors: 廖四郎
    黃珮菁
    Keywords: 市場模型
    蒙地卡羅模擬法
    路徑相依利率選擇權
    Date: 2003
    Issue Date: 2009-09-14 09:26:30 (UTC+8)
    Abstract: 本論文的研究目的是提供路徑相依利率結構型債券一個簡便而實用的評價模型,透過機率測度的轉換,推導出遠期LIBOR利率的動態過程,藉以進行蒙地卡羅的模擬,使用BGM蒙地卡羅法的好處在於只要模擬出未來時點的利率期間結構,無論產品條件如何改變,都可經由調整最後的收益型態,就可快速評價出產品價格。
    在實證上,本文評價的商品,為市場上實際發行與銷售的路徑相依利率連動債券,其特色為履約價格的重設為一個路徑函數的型態,藉由推導出的模型方法,對產品訂出理論價格,並建構發行商的避險策略,與避險參數的分析,探討實務上產品發行與風險管理的執行方法。
    Reference: 1. Amin, K.I. and A. Morton. (1994). Implied volatility functions in arbitrage-free term structure models. Journal of Financial Economics. 35, 141-180.
    2. Brace, A., D. Gatarek, and M. Musiela. (1997). The market model of interest rate dynamics. Mathematical Finance. 7, 127-155.
    3. Brennan, M.J. and E. Schwartz. (1979). A continuous-time approach to the pricing of bonds. Journal of Banking and Finance. 3, 133-155.
    4. Cox, J.C., J.E. Ingersoll, Jr., and S.A. Ross. (1985). A theory of the term structure of interest rates. Econometrica. 53, 385-407.
    5. Heath, D., R. Jarrow, and A. Morton. (1990). Bond pricing and the term structure of interest rates: a discrete time approximation. The Journal of Financial andQuantitative Analysis. 25, 419-440.
    6. Heath, D., R. Jarrow, and A. Morton. (1991). Contingent claim valuation with a random evolution of interest rates. Review of Futures Market. 9, 54-76.
    7. Heath, D., R. Jarrow, and A. Morton. (1992). Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation. Econometrica. 60, 77-105.
    8. Ho, T.S.Y., and S.B. Lee. (1986). Term structure movements and pricing interest rate contingent claims. Journal of Finance. 41, 1011-1029.
    9. Hull, J.C. and A. White. (1987). The pricing of options on assets with stochastic volatilities. Journal of Finance. 42, 281-300.
    10.Hull, J.C. and A. White. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies. 33, 423-440. 58
    11.Hull, J.C. and A. White. (2000). Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model. Journal of Fixed Income. 9, 46-62.
    12.Jamshidian, F. (1989). An exact bond option pricing formula. Journal of Finance. 44, 205-209.
    13.Jamshidian, F. (1997). LIBOR and swap market models and measures. Finance and Stochastics. 1, 293-330.
    14.Li, A., P. Ritchken, and L. Sankarasubramanian. (1995). Lattice models for pricing American interest rate claims. Journal of Finance. 50, 719-737.
    15.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.
    16.Miltersen, K., K. Sandmann, and D. Sondermann. (1997). Closed form solutions for term structure derivatives with lognormal interest rates. Journal of Finance. 52, 409-430.
    17.Musiela, M., Rutkowski, M. (1997). Continuous-time Term Structure Models: Forward Measure Approach. Finance and Stochastics. 1 261-292
    18.Ritchken, P. and L. Sankarasubramanian. (1995). Volatility structures of forward rates and the dynamics of the term structure. Mathematical Finance. 5, 55-72.
    19.Yan, H. (2001). Dynamic models of the term structure. Financial Analysts Journal. 60-76.
    Description: 碩士
    國立政治大學
    金融研究所
    91352006
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091352006
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2241View/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 ©   - Feedback