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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/31236
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31236


    Title: 跳躍擴散模型下之短期利率期貨與結構型債券評價
    Authors: 邵智羚
    Contributors: 廖四郎
    邵智羚
    Keywords: 跳躍擴散模型
    市場模型
    歐洲美元期貨
    利率結構型債券
    jump-diffusion model
    LIBOR market model
    Eurodollar futures
    interest rate structured note
    Date: 2004
    Issue Date: 2009-09-14 09:35:00 (UTC+8)
    Abstract: 經由愈來愈多的實證研究發現,的確在利率的變動過程中,除了包含連續性行為,即遵循”擴散”模式(diffusion process),亦包含了不連續性行為,也就是有著跳躍(jump)的情形發生。因此顯示出假設利率隨機過程僅為連續性的擴散模型已是不足夠的,跳躍-擴散模型(Jump-diffusion model)顯然會比純粹擴散模型有著更好的解釋能力。而市場模型(LIBOR market model)的提出,則說明了遠期LIBOR利率模型較能描述市場實際的利率型態,並且可方便使用市場資訊,進行模型參數校準。
    所以本研究旨在以LIBOR market model 加上跳躍過程,即遠期LIBOR利率的跳躍-擴散模型,分別針對歐洲美元期貨與利率結構型債券中的滾雪球式累息債券建立評價方法。由於所選用動態模型的複雜度,使得封閉解的求出不易,因此在文中,最後是採用蒙地卡羅模擬法,求兩商品的數值解。在後續研究上,本文還挑出了幾個最直接影響商品價值的因素,如殖利率、波動度、跳躍幅度等,進行各種情境下商品價值的敏感度分析,以提供投資人與發行商在考量風險因子所在時的一個參考。
    Reference: 國內文獻:
    1. 王麗妙,「以跳躍-擴散模型評價單一型認購權證之實證研究」,國立高雄第一科技大學金融營運系研究所,碩士論文,民國88年。
    2. 李國榮,「跳躍-擴散過程下之債券及債券選擇權訂價」,國立中山大學財務管理學系研究所,碩士論文,民國88年。
    3. 林丙輝、葉仕國,「台灣金融市場跳躍-擴散利率模型之實證研究」,中國財務學刊,第六卷第一期,77-106頁,民國87年7月。
    4. 林盈志,「固定收益證券之金融創新-結構型債券」,寶來金融創新雙月刊,第九期,民國88年11月。
    5. 黃珮菁,「路徑相依利率結構型債券之評價」,國立政治大學金融研究所,碩士論文,民國93年。
    6. 廖志展,「在跳躍擴散過程下評價利率期貨選擇權」,國立政治大學國際貿易系研究所,碩士論文,民國93年。
    7. 謝嫚綺,「結構型債券之評價與分析」,國立政治大學金融研究所,碩士論文,民國93年。
    國外文獻:
    1. Amin, K., I., and Morton, A. J. (1994), “Implied volatility functions in arbitrage-free term structure models.”, Journal of Financial Economics, 35, pp.141-180.
    2. Babbs, S., and Webber, N. (1997), “Term structure modeling under alternative official regimes.”, in Mathematics of derivative securities, M. A. H. Dempster and S. R. Pliska (Eds.), Cambridge University Press, Cambridge, UK.
    3. Björk, T., Kabanov, Y., and Runggaldier, W. (1997), “Bond market structure in the presence of marked point processes.”, Mathematical Finance, 7(2), pp.211-223.
    4. Brace, A., Gatarek, G., and Musiela, M. (1997), “The market model of interest rate dynamics.”, Mathematical Finance, 7(2), pp.127-147.
    5. Brigo, D., and Mercurio, F. (2001), “Interest Rate Models Theory and Practice.”, Springer-Verlag, Heidelberg , Germany.
    6. Chiarella, C., and Tô, T.-D. (2003), “The jump component of the volatility structure of interest rate futures markets : and international comparison.”, The Journal of Futures Markets, 23(12), pp.1125-1158.
    7. Das, S. R. (1999), “The surprise element: jumps in interest rate diffusions.”, Working paper, Harvard Business School.
    8. El-Jahel, L., Lindberg, H., and Perraudin, W. (1997), “Interest rate distributions, yield curve modeling and monetary policy.”, in Mathematics of derivative securities, M. A. H. Dempster and S. R. Pliska (Eds.), Cambridge University Press, Cambridge, UK.
    9. Glasserman, P. (2003), “Monte Carlo Methods in Financial Engineering.”, B. Rozovskii and M. Yor (Eds.), Springer-Verlag, New York, USA.
    10. Glasserman, P., and Kou, S. G. (2003), “The term structure of simple forward rates with jump risk.” , Mathematical Finance, 13(1), pp.383-410.
    11. Heath, D., Jarrow, R., and Morton, A. (1992), “Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation.”, Econometrica, 60(1), pp.77-105.
    12. Ho, T. S. Y., and Lee, S. B. (1986), “Term structure movements and pricing interest rate contingent claims.”, Journal of Finance, 41, pp.1011-1029.
    13. Hull, J. C., and White, A. (1990), “Pricing interest-rate-derivative securities.”, Review of Financial Studies, 3(4), pp.573-592.
    14. Hull, J. C. and White A. (2000), “Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model.”, Journal of Fixed Income, 9, pp.46-62.
    15. Johannes, M. (2004), “The statistical and economic role of jumps in continuous-time interest rate models.”, Journal of Finance, ,pp.227-260.
    16. Miltersen, K. R., Sandmann, K., and Sondermann, D. (1997), “Closed form solutions for term structure derivatives with log-normal interest rates.”, Journal of Finance”, 52(1), pp.409-430.
    17. Shirakawa, H. (1991), ”Interest rate option pricing with Poisson-Gaussian forward rate curve processes.”, Mathematical Finance, 1(4), pp.77-94.
    18. Shreve, S. E. (2004), “Stochastic Calculus for Finance II: Continuous-Time Models.”, Springer-Verlag, USA.
    19. Sundaresan, S. M. (2002), “Fixed Income Markets and Their Derivatives, 2e.”, South-Western, USA.
    20. Zagst, R. (2002), “Interest-Rate Management.” , Springer-Verlag, Heidelberg, Germany.
    Description: 碩士
    國立政治大學
    金融研究所
    92352027
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923520271
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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