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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/49731


    Title: 利率衍生性商品之定價與避險:跳躍 LIBOR 市場模型;Pricing and Hedging Interest Rate Derivatives under the Libor Market Model with Jump Risk
    Authors: 吳庭斌
    Contributors: 財務金融學系
    Keywords: 研究領域:經濟學
    Date: 2011-08-01
    Issue Date: 2012-01-17 19:14:12 (UTC+8)
    Publisher: 行政院國家科學委員會
    Abstract: 本研究主要目的在於求得一個可實務操作的跳躍LIBOR 市場模型 (JUMP LIBOR Market Model),且該模型仍維持完備市場與無套利機會存在的基本假設,並利用所得的模型推導數種市場交易熱絡的利率衍生性商品定價公式,並利用蒙地卡羅模擬法來驗證評價公式的準確性。本研究預計最後討論跳躍LIBOR 市場模型的參數校準方法與各種利率衍生性商品的避險策略。 This research intends to derive a tractable and feasible LIBOR market model with jump risk, which satisfies two basic financial assumptions that the market is complete and arbitrage-free. We employ the resulting jump LIBOR market model to price several popularly-traded interest rate derivatives and examine the accuracy of these pricing formulas. Furthermore, the calibration method of the jump LIBOR market model and the hedging strategies of each interest rate derivatives are also studied. 研究期間:10008 ~ 10107
    Relation: 財團法人國家實驗研究院科技政策研究與資訊中心
    Appears in Collections:[財務金融學系] 研究計畫

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