政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34026

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34026

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/34026

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34026

Title:	結構型商品評價－以美元雙指標利率連動債與歐元逆浮動連動債為例
Authors:	謝明翰
Contributors:	陳松男謝明翰
Keywords:	利率連動債每日計息逆浮動 BGM模型 LIBOR Market Model Least-Squares Monte Carlo
Date:	2005
Issue Date:	2009-09-17 19:07:42 (UTC+8)
Abstract:	本文採用BGM模型評價兩個配息型態不同的利率連結商品。利用BGM模型，我們可以直接透過蒐集市場資料，即可描述LIBOR利率的期間結構。同時，對模型內遠期利率波動度與相關係數進行校準(Calibration)，使評價更為正確。而本文評價的第一個商品為「三年期美元每日計息雙指標利率連動債」，第二個商品則是「10年期歐元逆浮動連動債」。使用BGM模型，並透過最小平方蒙地卡羅模擬，考慮提前買回條款及計算各期的配息，分別求得兩個商品的合理價格並計算避險參數。此外，從發行商與投資人的角度，分別給予避險與投資建議。關鍵字：利率連動債、每日計息、逆浮動、BGM模型、LIBOR Market Model、Least-Squares Monte Carlo
Reference:	中文部份 1. 張嘉云 (2005)，結構型商品之評價與分析:結構型商品之評價與分析以美元區間保本票券及信用連結暨通貨膨脹連動票券為例，政治大學金所碩士論文。 2. 林淳瑜 (2005)，信用及利率衍生性商品之評價與分析:以信用連結票券及利率交換為例，政治大學金融所碩士論文。 3. 張欽榮 (2005)，結構型商品之評價與分析:以信用連動票券及美元利區間保本票券為例，政治大學金融所碩士論文。英文部分 1. Brace, A., D. Gatarek, and M. Musiela (1997), The Market Model of Interest Rate Dynamics. Mathematical Finance 7, 127-155. 2. Brigo, D., F. Mercurio, Interest Rate Models Theory and Practice, Springer, 183-236. 3. Longstaff , F.A., and E.S. Schwartz (2001), Valuing American Options by Simulation: A Simple Least-Squares Approach. The Review of Financial Studies, Vol. 14, No. 1, pp. 113-147. 4. Weigel, P.(2004), Optimal Calibration of LIBOR Market Models to Correlations, The Journal of Derivatives, Winter, pp. 43-50.
Description:	碩士國立政治大學金融研究所 93352027 94
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0933520271
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

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