政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/59972
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/59972


    Title: 利率衍生性商品之評價-以cross-currency LIBOR market model為例
    Pricing interest rate options in a cross-currency LIBOR market model
    Authors: 連云暄
    Contributors: 廖四郎
    連云暄
    Keywords: 跨通貨LIBOR市場模型
    跨國區間浮動利率債券
    Date: 2010
    Issue Date: 2013-09-04 10:08:57 (UTC+8)
    Abstract: 跨通貨型的利率衍生性商品提供一個管道，讓投資人能夠投資國外債券或是兩國立利率差而不牽扯任何匯率風險，本文主要利用跨通貨LIBOR市場模型(cross-currency LIBOR market model)及蒙地卡羅模擬法，針對兩種型態的跨國區間浮動利率債券進行評價，一為以國內利率為計息利率而國外利率為指標利率，另一個為以國外利率為計息利率而國內利率為指標利率，分析債券在不同的計息區間下價格之變化，為了協助投資人了解投資利率型連動債所會面臨的報酬與風險，同時針對利率水準以及遠期利率波動度進行敏感度分析，敏感分析的結果顯示遠期利率水準之波動度對債券影響不大，投資人應更加注重利率水準之變化。
    Reference: 中文部分：
    1. 李映瑾（2005），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，政大金融研究所碩士論文
    2. 陳松男（2003），結構型金融商品之設計及創新，新陸書局
    3. 張嘉云（2006），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，政大金融研究所碩士論文

    英文部分
    1. Brace A., D. Gatarek and M. Musiela (1997) “The Market Model of Interest Rate Dynamics”, Mathematical Finance, Vol.7, p127-155.
    2. Brigo. D. and F. Mercurio.（2006）“Interest Rate Models: Theory and Practice”, New York: Springer-Verlag.
    3. Hull, John C.(2003) “Options, Futures, & Other Derivatives” 5th Edition, Pretice-Hall
    4. Liao S. L. and P. P. Hsu (2009) “Pricing and Hedging of Quanto Range Accrual Notes under Guassian HJM with Cross-Currency Lévy Processes”,Journal of Futures Markets,5,p425-440
    5. Mikkelsen P.（2001）“Cross – currency LIBOR Market Models”, working paper
    6. Musiela M. and M. Rutkowski (1997) “Martingale Methods in Financial Modelling”, Springer
    7. Simona Svoboda(2004) “Interest rate modeling,” p.214-p.221, Chapter 12.
    8. Steven E. Shreve(2004)“Stochastic Calculus for Finance II.”
    9. Wu, T. P. and S. N. Chen（2007）“Cross -Currency Equity Swaps in the BGM model”, Journal of Derivatives. 15, p60 – 76
    Description: 碩士
    國立政治大學
    金融研究所
    98352010
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0983520101
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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