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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/31237


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    题名: 市場模型下評價反浮動利率債劵
    作者: 曾鼎翔
    贡献者: 廖四郎
    曾鼎翔
    关键词: 市場模型
    反浮動利率債劵
    日期: 2005
    上传时间: 2009-09-14 09:35:05 (UTC+8)
    摘要: 本文採用市場模型(The LIBOR Market Model)來評價反浮動利率債劵，之前評價利率衍生性商品大多採用Hull and White 模型，而本文改採用LIBOR Market Model來評價反浮動利率商品，使用此模型的好處在於LIBOR Market Model是將HJM模型間斷化，而直接推導出市場上可以觀察到的LIBOR利率的隨機過程，用它來描述市場利率期間結構，同時也必須考慮LIBOR利率的波動度，而透過實際市場資料的校準以符合市場上的利率期間結構以及波動結構，來對衍生性商品做定價與避險。

    實證部分以法國巴黎銀行所發行的BNP反浮動利率連動債來做例子，利用LIBOR Market Model並做蒙地卡羅法做模擬，進而求得商品價格以及避險參數Delta值。
    參考文獻: 1、Brace,A.,D.Gatarek , and M. Musiela (1997). The market model of interest rate dynamics . Mathematical Finance.
    2、Cox,J.C.,J.E.Ingersoll,Jr., and S.A.Ross,(1985),A theory of the term structure of interest rates. Econometerica,53,385-407.
    3、Damiano Brigo and Fabio Mercurio. Interest Rate Models Theory and practice.
    4、Heath,D.,R.Jarrow, and A. Morton. (1990). Bond pricing and the term structure of interest rates. Econometrica. 53,385-407
    5、Heath,D.,R.Jarrow, and A. Morton. (1992).Bond pricing and the term structure of interest rates: anew methodology for contingent claims valuation.Econometrica.60,77-105.
    6、Ho,T.S.Y.,ands.B.Lee,(1986),Term structure movements and pricing interest rate contingent claims. Journal of Finance.
    7、Hull,J.C. and A. White,(1990),Pricing interest-rate-derivative securities. Review of Financial Studies,3,423-440.
    8、Hull,J.C. and A. White,(1993),Bond option based on a model for the evolution of bond prices. Advances in Futures and Options Research,6,1-3.
    9、Hull,J.C. and A. White,(2000),Forward Rate Volatilities,Swap Rate Volatilities, and The Implementation of The LIBOR Market Model, Journal of Fixed Income.
    10、Jamshidian,F.(1997).LIBOR and swap market models and measures. Finance and Stochastics.1,293-330.
    11、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.
    12、Miltersen,K.,K. Sandmann, and D.Sondermann.(1997).Closed form solutions for term structure derivatives with lognormal interest rate.Journal of Finance.52,409-430.
    13、Yan,H.(2001).Dynamic models of the term structure.Financial Analysts Journal.60-76.
    描述: 碩士
    國立政治大學
    金融研究所
    92352028
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0923520281
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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