 |
English
|
正體中文
|
简体中文
|
Post-Print筆數 : 27 |
Items with full text/Total items : 113324/144300 (79%)
Visitors : 51130378
Online Users : 880
|
|
|
Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/38415
|
| Title: | SABR模型與SABR-LMM模型之實證分析
Empirical Analysis of SABR Model and SABR-LMM Model |
| Authors: | 毛迦南
Mau,Cha-Nan |
| Contributors: | 陳松男
Chen, Son-Nan
毛迦南
Mau,Cha-Nan |
| Keywords: | 波動度微笑
SABR模型
SABR-LMM模型
Volatility Smile
SABR Model
SABR-LMM Model |
| Date: | 2009 |
| Issue Date: | 2010-04-09 14:48:11 (UTC+8) |
| Abstract: | 本篇論文驗證SABR模型與SABR-LMM模型的動態設定與市場選擇權價格下標的未來價格之隱含分配是否一致，判斷準則為SABR模型與SABR-LMM模型校準出的參數是否符合市場直覺。根據實證結果答案是肯定的，所以在SABR模型與SABR-LMM模型下評價選擇權不需要再做任何的主觀判斷或調整。此外本篇論文對於SABR模型與SABR-LMM模型的參數校準方法做了詳細的分析，並且清楚的閳述SABR模型與SABR-LMM模型的模型直覺。 |
| Reference: | 中文部份
陳松男(2006)，利率金融工程學-理論模型及實務應用，新陸書局
陳松男(2005)，金融工程學(二版)- 金融商品創新與選擇權理論，新陸書局
陳松男(2004)，結構型金融商品之設計及創新，新陸書局
英文部份
Fabio Mercurio and Massimo Morini(2009) ‘Joining the SABR and Libor
models together’,risk
Fabio Mercurio and Nicola Moreni (2009) ‘Inflation modelling with SABR dynamics’,risk
Riccardo Rebonato, Andrey Pogudin, Richard White(2009) ‘Delta and vega hedging in the SABR and LMM-SABR models’,risk
Pierre Henry-Labordère(2007), ‘Combining the SABR and LMM models’ ,risk
Riccardo Rebonato(2007), ‘A time-homogeneous, SABR-consistent extension of the LMM’ ,risk
Hagan,P.,Kumar,D.,Lesniewski,A.and Woodward,D.(2002) ‘MANAGING SMILE RISK’,Wilmott Magazine
Riccardo Rebonato and Richard White(2009) ‘Linking caplets and swaptions prices in the LMM-SABR model’ journal of computational finance
Pogudin,A.(2008) ‘Theoretical and practice aspects of heging within SABR and LMM-SABR models’M.Sc.in Mathmatical Finance,Oxford university
Wu L and F Zhang(2006) Libor market model with stochastic Journal of Industrial and Management |
| Description: | 碩士
國立政治大學
金融研究所
95352030
98 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0095352030 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| index.html | 0Kb | HTML2 | 643 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
著作權政策宣告 Copyright Announcement1.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.
