跨通貨利率衍生性商品之評價與討論

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：8

、訪客IP：18.220.136.165

姓名

鄭立誠(Li-Cheng Cheng ) 查詢紙本館藏

畢業系所

財務管理研究所

論文名稱

跨通貨利率衍生性商品之評價與討論
(Valuing Cross-Currency Interest Rate Derivatives)

相關論文

★ 勞工退休金條例草案之轉換選擇權的評價與分析	★ 一般化的美式選擇權解析上界
★ 台灣加權指數波動率之實證研究	★ 蒙地卡羅模擬在選擇權評價上之運用
★ 固定匯率下跨國股酬交換之評價	★ 信用風險下可轉換公司債之評價
★ 控制變數法在數值選擇權評價模型之應用分析	★ GARCH選擇權評價模型：修正、應用和實證研究
★ 可轉換債券之定價與拆解	★ 高斯數值積分在選擇權評價上的應用研究
★ 指數期貨避險效率之比較：台灣與新加坡指數期貨市場之實證	★ 信用衍生性金融商品之研究:CB Asset Swap 及CDO
★ 選擇權價格之資訊內涵 --實際波動率與未來選擇權價格之預測	★ 選擇權實證研究:以臺指選擇權為例
★ 考慮交易成本與流動性風險成本下選擇權複製策略之比較	★ 選擇權實證研究-以S&P500指數選擇權為例

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

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，而且這些有兩個或多個標的因子的金融工具都是相當複雜的。
在本文中，我們將著重於三個有趣的議題上。一個是quanto形式的利率衍生性工具，其標的為外國的浮動利率但卻以本國貨幣的本金來計算損益。另一個議題是差額型利率衍生性工具，其標的為外國與本國浮動利率差額但卻只以本國貨幣的本金來計算損益。最後一個是這些跨通貨利率衍生性商品間的關係，例如我們可以透過quanto cap、quanto floor、swap來組成diff swap等等。
另外我們也推導這些商品的封閉解並指出quanto caplet與diff caplet的特徵；利用這些公式，我們可以得到這些商品的敏感度分析。

摘要(英)

Cross-currency interest rate derivatives provide an opportunity for investors to invest in foreign bonds or the difference between foreign and domestic floating rates without incurring any currency risk. Moreover, these derivatives are composite financial instruments that refer to 2 or more underlying factors.
In this article we focus on three interesting issues. One is quanto interest rate instruments where the underlying asset is the foreign rate on floating notes, but measured in domestic currency. Another subject is currency protected spread rate (diff) instruments whereby the underlying asset is the difference between the foreign and domestic floating rate.
They are also measured in domestic currency. The other issue is the relationship between these cross-currency interest rate derivatives such as the relationship among diff swaps, quanto caps, quanto floors, and domestic swaps or the relationship among quanto caps, diff caps, floors, and domestic swaps, etc. We will additionally derive the closed-formed solution and show many characteristics of quanto interest rate and diff instruments. By using these pricing methods, we will show the sensitivity analysis of diff caplets and quanto caps.

關鍵字(中)

★ Hull & White 模型
★ quanto
★ 利率衍生性商品
★ 差額交換
★ 買權賣權評價理論
★ 跨通貨

關鍵字(英)

★ cross-currency
★ diff swap
★ Hull & White Model
★ interest rate derivatives
★ put-call parity
★ quanto

論文目次

1 Introduction 1
2 Literature Review 4
2.1 Wei (1994) 4
2.2 Hull and White (1994a)(1994b) 7
2.2.1 Constructing an Interest Rate Tree 8
2.2.2 Building the Tree of Two Interest Rates 14
2.2.3 Constructing the Tree--Zero Correlation 16
2.2.4 Constructing the Tree--Non-Zero Correlation 17
3 Quanto Caplets and Quanto Floorlets 19
3.1 Pricing Quanto Caplets and Quanto Floorlets 19
3.2 Sensitivity Analysis of Quanto Caplets 20
4 Diff Caplet and Diff Floorlet 21
4.1 Pricing Diff Caplets or Floorlets 21
4.2 Sensitivity Analysis of Diff Caplets 23
4.3 Comparing DiR Caplet With The Combination of Domestic Floorlets and Quanto Caplets 24
4.4 An Example--Quanto Notes 26
5 Block-Building of Cross-Currency Interest Rate Derivatives 27
5.1 General Case 27
5.1.1 Quanto Put-Call Parity 27
5.1.2 Diff Put-Call Parity 29
5.1.3 Diff Swaps, Quanto Swaps, and Swaps 30
5.1.4 Quanto Caps, Quanto Floors and Diff Swaps 31
5.1.5 The Relationship among Domestic, Quanto and Diff Instruments 33
5.2 Under Vasicek Model Assumption 35
5.2.1 The Dynamic Duplicate 35
6 Conclusion 36
A Appendix I--Quanto Caps and Quanto Floors 39
A.1 Foreign Caplets Denominated in Domestic Currency 39
A.2 Foreign Floorlets Denominated in Domestic Currency 42
A.3 Domestic Caplets Denominated in Foreign currency 43
A.4 Domestic Floorlets Denominated in Foreign Currency 45
B Appendix II{DiR Caps and Floors with K = 0 46
B.1 Diff Caplets Denominated in Domestic Currency with K = 0 46
B.2 DiR Floorlets Denominated in Domestic Currency with K = 0 49

參考文獻

1. Chan, K. C., G. A. Karolyi, F. A. Longstaff, and A. B. Sanders, 1992, "Empirical Comparison of Alternative Models of the Short-Term Interest Rate." The Journal of Finance, 47, 3, 1209-1227.
2. Chang, C. C., S. L. Chung and M. T. Yu "Valuation and Hedging of Differential Swaps." Journal of Future Market, SSCI (2001 Dec/2002 Jan, Forthcoming).
3. Chung, S.L., 1999, "American Option Valuation under Stochastic Interest Rates." Review of Derivatives Research, 3(3), 283-307.
4. Das, S., 1992a, "Differential Strip-Down." Risk, 5, 6, 65-72.
5. Hull, J. and A. White, 1994, "Numerical Procedures For Implementing Term Structure Models I: Single-Factor Models." Journal of Derivatives, 2, 1, 7-16.
6. Hull, J. and A. White, 1994, "Numerical Procedures For Implementing Term Structure Models II: Two-Factor Models." Journal of Derivatives, 2, 2, 37-47.
7. Hull, John C. "Options, Futures, & Other Derivatives." (4nd ed) Prentice-Hall International, Inc.
8. Michalisin, M. D. and T. Carey, 1999, "The Diff Swap: Strategy, Structure, And Financial Reporting." Bank Accounting & Finance, 12, 2, 43-49.
9. Wei, J. Z., 1994, "Valuing Differential Swaps." Journal of Derivatives, 1, 3(Spring 1994), 64-76.
10. Vasicek, O., 1977, "An Equilibrium Characterization of the Term Structure." Journal of Financial Economics, 5 (1977), 177-188.

指導教授

張森林(San-Lin Chung)

審核日期

2001-7-5

推文