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| Title: | 利率衍生性商品之定價與避險：LIBOR 市場模型
Pricing and Hedging Interest Rate Options in a LIBOR Market Model |
| Authors: | 吳庭斌
wu,Ting-Pin |
| Contributors: | 陳松男
Chen,Son-Nan
吳庭斌
wu,Ting-Pin |
| Keywords: | LIBOR 市場模型
利率衍生性商品
股籌交換
LIBOR Market Model
Interest Rate Derivatives
Equity Swaps |
| Date: | 2006 |
| Issue Date: | 2009-09-14 09:35:41 (UTC+8) |
| Abstract: | 本論文第一章將 LIBOR 市場模型加入股價動態，並求出其風險中立過程下的動態模型，並利用此模型評價股籌交換契約。第二章將 LIBOR 市場模型擴展成兩國的市場模型，加入兩國股價動態，並求出風險中立過程下的動態模型，並利用此模型評價跨國股籌交換契約。本論文第二部份說明如何實際使用此模型，並使用蒙地卡羅模擬檢驗此評價模型的正確性。
This thesis includes two main chapters. Chapter 2 is entiled as "Equity Swaps in a LIBOR Market Model" and Chapter 3 is entitled as "Cross-Currency Equity Swaps in a LIBOR Market in a Model". The conclusions of this thesis are made in Chapter 4.
In Chapter 2, we extends the BGM (Brace, Gatarek and Musiela (1997))interest rate model (the LIBOR market model) by incorporating the stock price dynamics under the martingale measure. As compared with traditional interest rate models, the extended BGM model is easy to calibrate the model parameters and appropriate for pricing equity
swaps. The general framework for pricing equity swaps is proposed and applied to the pricing of floating-for-equity swaps with either constant or variable notional principals. The calibration procedure and the practical implementation are also discussed.
In Chapter 3, under the arbitrage-free framework of HJM, we
simultaneously extends the BGM model (the LIBOR market model) from a single-currency economy to a cross-currency case and incorporates the stock price dynamics under the martingale measure. The resulting model is very general for pricing almost every kind of (cross-currency) equity swaps traded in OTC markets. The calibration procedure and the hedging strategies are also provided in this paper for practical operation. The pricing formulas of the equity swaps with either a constant or a variable notional principal and with hedged or un-hedged exchange rate risk are derived and discussed as examples. |
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| Description: | 博士
國立政治大學
金融研究所
92352501
95 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0923525011 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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