應用蒙地卡羅法對HJM 模型下的利率衍生性商品定價

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姓名

林育民(Yu-Min Lin) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

應用蒙地卡羅法對HJM 模型下的利率衍生性商品定價
(Pricing Interest Rate Derivatives in HJM Model by Monte Carlo Method)

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摘要(中)

HJM 模型是一個非常一般化的利率模型，它只需要外生給定期初的利率期間結構和
債券報酬率的波動性期間結構。本文提供一個利率上限評價模型，其波動性結構可
以非常一般化。當我們檢視一因子HJM模型下的利率衍生性商品評價時，我們考慮
兩種不同的波動性結構，一個為指數下降型，另一個為駝峰型。我們利用蒙地卡羅
模擬結合有效的債券報酬隨機過程和準隨機序列來評價一些利率衍生性商品，包
括，純折價債券選擇權、利率上限、利率交換選擇權。本文的結論顯示我們可以利
用準隨機序列較準確地評價這些利率衍生性商品。另外，我們也提供利用兩因子高
斯HJM模型對利率交換選擇權評價時的一些特性。

摘要(英)

Heath, Jarrow and Morton (hereafter HJM) model is a very general interest rate model,
their only required inputs are the initial yield curve and the volatility structure for pure
discount bond (PDB) price return. Here we provide the interest rate caps pricing model
with very general volatility structure. When we test the valuation of interest rate
derivatives in one-factor HJM model, we consider two different volatility structures as (i)
exponentially decaying (ii) humped. We use Monte Carlo simulation combined with
efficient bond return process and quasi-random sequences to price several interest rate
derivatives included PDB option, caps and swaptions. The result of this thesis is that we
can price these interest rate derivatives accurately by Monte Carlo simulation combined
with quasi-random sequences. We also show some characteristics of two-factor Gaussian
HJM model when pricing interest rate swaptions.

關鍵字(中)

★ 一般化HJM模型
★ 準隨機序列
★ 蒙地卡羅模擬
★ 高斯HJM模型
★ 利率衍生性商品

關鍵字(英)

★ Monte Carlo simulation
★ Quasi-random sequences
★ Interest rate derivatives
★ General HJM model
★ Gaussian HJM model

論文目次

1. Introduction……………………………………………………………………..1
2. The Models………………………………………………………………………3
2.1 PDB Option under a One-Factor HJM Model…………………………..4
2.1.1 Interest Rate Model……………………………………….………...4
2.1.2 Pricing Model under General HJM Model………………..……....5
2.1.3 Monte Carlo Simulation……………………………………………5
2.2 Caps under a One-Factor HJM Model…………………………...………6
2.2.1 Interest Rate Model…………………………………………………6
2.2.2 Pricing Model under General HJM Model…………………..……6
2.2.3 Monte Carlo Simulation……………………………………………8
2.3 Swaptions under a Two-Factor HJM Model…………………..…………9
2.3.1 Interest Rate Model…………………………………………………9
2.3.2 Pricing Model under General HJM Model………………………10
2.3.3 Monte Carlo Simulation………………………………………..…10
2.4 Forward Rate Correlation Coefficient Matrix…………………….……11
3. Variance Reduction……………………………………………………………13
3.1 Antithetic Variable Technique………………………………………...…13
3.2 Quasi-Random Sequences…………………………………………….…13
3.2.1 Faure Sequences…………………………………………...………14
3.2.2 Sobol Sequences……………………………………………………15
3.3 Characteristic of Quasi-Random Sequences……………………………16
3.3.1 Low Time Interval…………………………………………………17
3.3.2 High Time Interval…………………………………………...……18
4. Numerical Results…………………………………………………………..…21
4.1 PDB Option………………………………………………………….……21
4.1.1 The One-Factor HJM Model………………………………...…….21
4.1.2 Vasicek Model Used to Calculate The Initial Term Structure.…..22
4.1.3 Closed-Form Solution for a European Call Option on PDB…….22
4.1.4 Contract…………………………………………………………….24
4.2 Interest Rate Caps………………………………………………………..30
4.2.1 The One-Factor HJM Model………………………………………30
4.2.2 Vasicek Model Used to Calculate The Initial Term Structure...…30
4.2.3 Closed-Form Solution for a Interest Rate Cap…………………...30
4.2.4 Contract………………………………………………………….….33
4.3 Interest Rate Swaptions………………………………………………….38
iv
4.3.1 The Two-Factor HJM Model……………………………………....38
4.3.2 Vasicek Model Used to Calculate The Initial Term Structure…...39
4.3.3 Contract……………………………………………………………..39
4.3.4 Table and Figures Results………………………………………….40
5. Conclusions…………………………………………………………………….51
References…………………………………………………………………………...52

參考文獻

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53
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指導教授

岳夢蘭(Meng-Lan Yueh)

審核日期

2004-7-14

推文