政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/38415

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/38415

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/38415

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:	[Department of Money and Banking] Theses

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