政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49015

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49015

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/49015

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49015

Title:	結構型金融商品之評價與分析－固定期限交換利率利差連動債券 Evaluation and Analysis of Structured Financial Products－100% Principal Protected Leveraged Callable CMS Spread Note
Authors:	李健維
Contributors:	陳松男李健維
Keywords:	LIBOR市場模型 BGM模型交換利率最小平方法蒙地卡羅模擬反向變異法結構型商品 LIBOR Market Model BGM Model Swap Rate LSM Antithetic Method Structure Note
Date:	2009
Issue Date:	2010-12-08 01:56:59 (UTC+8)
Abstract:	次級房貸風暴使得包裝複雜的衍生性金融商品紛紛遭受波及後，目前結構型金融商品的條款設計將朝簡單化和透明化的趨勢發展，有助於全球金融市場的效率性、完整性與穩定性。本文從市場上選擇具代表性的利率結構型商品，應用模型來推導商品的價格，並深入分析商品的報酬與風險型態。本文分析的個案商品為全球知名的匯豐銀行所發行之十年期「固定期限交換利率利差連動債券」，在評價上將採用LIBOR市場模型，利用市場上既有的資料求算出期初遠期利率，並校準模型所需的參數化波動度函數與相關係數函數，建立與市場一致的利率期間結構與利率波動度期間結構。模擬路徑時應用最小平方法蒙地卡羅來求得該商品發行之期初價格，此外，亦採用反向變異法加速收斂效果，並針對商品的條款設計作拆解與分析。最後，本文探討了發行機構發行商品之風險與避險策略，並且從投資人之報酬及風險層面作詳盡地剖析。
Reference:	中文部分 1.陳松男（2006），利率金融工程學－理論模型及實務應用，新陸書局 2.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 3.陳松男（2005），結構型金融商品之設計與創新(二版)，新陸書局 4.陳松男（2004），結構型金融商品之設計與創新，新陸書局 5.陳威光（2001），選擇權－理論、實務與應用，智勝文化 6.王佐聖（2009），上下限固定期限交換利率利差連動債券與數據百慕達式匯率連動債券之探討，政大金融所碩士論文 7.張世民（2009），十年期累積計息利率連動債券與部分保本之股權連結式自動贖回債券之研究，政大金融所碩士論文 8.張原榮（2009），結構型金融商品之評價與應用－固定期限交換利率利差連動與股權連結債券，政大金融所碩士論文 9.曾昱璟（2008），中國大陸結構型商品之評價與分析－每日計息利率連動及A股多資產股權連動理財產品，政大金融所碩士論文 10.李映瑾（2006），結構型商品之評價與分析－每日計息雙區間連動及匯率連動債券，政大金融所碩士論文 11.謝明翰（2006），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，政大金融所碩士論文英文部分 1.Brigo, D., and F. Mercurio.（2006）, “Interest Rate Models: Theory and Practice” , New York: Springer-Verlag. 2.Rebonato, R.（2002）,“Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond”, Princeton University Press 3.Shreve, Steven E.（2004）, “Stochastic Calculus for Finance II: Continuous-Time Models” , New York: Springer-Verlag. 4.Black, F., E. Derman, and W. Toy（1990）,“A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options”, Journal of Financial Analysts, pp. 33-39 5.Brace, A., Gatarek, D., and Musiela, M.（1997）,“The Market Model of Interest Rate Dynamics”, Mathematical Finance, Vol. 7, No. 2, pp. 127-155 6.Cox, J. C., J. E. Ingersoll, and S. A. Ross（1985）,“A Theory of the Term Structure of Interest Rates”, Econometrica, Vol. 53, pp. 385-407 7.Health, D., R. A. Jarrow, and A. Morton（1992）, “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claim Valuation ” Econometrica, 60, No. 1, pp. 77-105 8.Ho, T. S. Y., and S. B. Lee（1986）,“Term Structure Movements and Pricing of Interest Rate Claims”, Journal of Finance, pp. 1011-1029 9.Hull, J. and A. White （1990）, "Pricing interest rate derivative securities", Review of Financial Studies, Vol. 3, pp. 573-592 10.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 11.Vasicek, O.（1977）, “An Equilibrium Characterization of The Term Structure”, Journal of Financial Economics, 5, pp. 177-188
Description:	碩士國立政治大學金融研究所 97352025 98
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0097352025
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

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