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    题名: 五年期雙區間鎖定可贖回債券評價與分析
    Analytical Valuation of 5 years USD callable dual range lock down steepner note
    作者: 洪鉦傑
    Hong,jheng jie
    贡献者: 陳松男
    徐士勛
    Chen,son nan
    洪鉦傑
    Hong,jheng jie
    关键词: LIBOR市場模型
    最小平方蒙地卡羅
    可贖回
    結構型商品
    LFM
    LSM
    Callable
    日期: 2009
    上传时间: 2013-09-05 14:21:40 (UTC+8)
    摘要: 本文採用Lognormal Forward LIBOR Model (LFM) 利率模型，針對可贖回利差型結構債券進行相關的評價與避險分析。所選取的評價商品為勞埃德 TSB 銀行所發行的「五年期雙區間鎖定可贖回債券」，模型參數部分利用市場上既有的資料來進行校準，使模型表現其能更貼近市場利率的走勢，評價過程採用蒙地卡羅模擬來得到未來的現金流量，並搭配Longstaff and Schwartz(2001)所提出的最小平方蒙地卡羅來處理同時具有可贖回與路徑相依的特性。

    最後的評價結果可以發現，考慮發行商的贖回權下，一元美元本金的商品價值只有0.81241美元，不考慮贖回權下價值為1.1195美元，可見發行商的贖回權非常不利於投資人。而模擬結果也顯示發行商將在前幾期即進行贖回，並不會讓投資人持有到到期日。因此投資人面對眾多的金融商品時，要以符合個人需求下去做出選擇。
    This article presents an analytical valuation of “5 Years USD Callable Dual Range Lock Down Steepner Note”, a callable spread note, issued by Lloyds TSB bank under the Lognormal Forward LIBOR (LFM). Parameters of the model are calibrated by using existing data, making sure of the model performance to fit market interest rates well. The main method to get the future cash flows is the use of Monte Carlo simulations, and adapting the least squares Monte Carlo simulations proposed by Longstaff and Schwartz (2001) to deal with features of callable and path- dependence.

    Consider the call right of the issuer, the results present that the price per 1 dollar principal is only 0.93154 dollar and 1.15109 dollar without the call right. In summary, the call right of issuer deeply damage investors’ returns. The simulated result also show that issuer will redeem the product in early quarters so that investors loss much future interest. Therefore, investors must make a choice to fit his own needs when facing many financial products.
    參考文獻: 1. 陳松男(2006)，利率金融工程學：理論模型與實務應用，新陸書局。
    2. Back, K (2005), A Course in Derivative Securities: Introduction to Theory and Computation, Springer Finance.
    3. Black, F., (1976), “The Pricing of Commodity Contracts, Journal of Financial Economics,” Vol. 3, pp. 167–179.
    4. Black, F., Derman, E., Toy, W., (1990), “A One-Factor Model of Interest Rates and Its Application to Treasury bond options,” Financial Analysts Journal, pp. 33-39.
    5. Brace, A., Gatarek, D., Musiela, M., (1997), “The market model of interest rate dynamics,” Mathematical Finance, Vol. 7, pp. 127–147.
    6. Brennan, M.J., Schwartz, E.S., (1980), “Analyzing Convertible Bonds”, Journal of Financial and Quantitative Analysis, Vol. 15, pp. 907-929.
    7. Brigo, D., and Mercurio, F (2006), Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit, Springer Finance.
    8. Cairns, A.J.G., (2004), Interest rate models, Princeton University Press, Princeton.
    9. Cox, J.C., Ingersoll, J.E., and Ross, S.A. (1980), “An Analysis of Variable Rate Loan Contract,” Journal of Finance, Vol. 53, pp. 389-403
    10. Cox, J.C., Ingersoll, J.E., and Ross, S.A. (1985), “A Theory of the Term Structure of Interest Rates,” Econometrica, Vol. 53, pp. 385-407.
    11. Dothan, U.L., (1978), “On the Term Structure of Interest Rates,” Journal of Financial Economics, Vol. 6 pp. 59-69.
    12. F. A. Longstaff 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.113-47.
    13. Heath, D., Jarrow, R., Morton, A., (1992), “Bond Pricing and The Term Structure of Interest rates: A New Methodology for Contingent Claims Valuation,” Economeyrica, Vol. 60, pp. 77–105.
    14. Ho, T.S.Y., Lee, S.B.,(1986), “Term Structure Movements and Pricing Interest Rates Contingent Claims,” Journal of Finance, Vol. 41, pp. 1011–1029.
    15. Hull, J., White, A., (1990), “Pricing Interest-Rate-Derivative Securities,” Review of Financial Studies, Vol. 3(4), pp. 573–592.
    16. Hull, J., White, A.,(1994b), “Numerical Procedures for Implementing Term Structure Models I: Single-factor models,” Journal of Derivatives, pp. 7–16.
    17. Jamshidian, F., (1997), “LIBOR and Swap Market Models and Measures,” Finance and Stochastics, Vol. 1, pp. 293–330.
    18. Piterbarg. V. V., (2004b), “Pricing and Hedging Callable Libor Exotics in Forward Libor Models,” Journal of Computational Finance, Vol. 8(2), pp. 65-117.
    19. Rebonato, R. (2002), Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond, Princeton University Press.
    20. Vasicek, O., (1977), “An Equilibrium Characterization of the Term Structure,” Journal of Financial Economics, Vol. 5, pp. 177-88.
    描述: 碩士
    國立政治大學
    經濟學系
    97258032
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0972580321
    数据类型: thesis
    显示于类别:[經濟學系] 學位論文

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