亞式利率交換契約之評價:利用LIBOR Market Models

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洪怡真(Yi-Chen Hung) 查詢紙本館藏

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財務金融學系

論文名稱

亞式利率交換契約之評價:利用LIBOR Market Models
(Pricing Asian-Style Interest Rate SwapsUsing LIBOR Market Models)

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摘要(中)

摘要
本文的目的是利用LIBOR Market Model來評價亞式利率交換契約,在亞式利率交換契約中,浮動利率支付的部分,主要運用LIBOR Market Model並在兩個連續的利率重設日,求得平均的浮動利率,我們算出平均的浮動利率,並比較標準的利率交換契約及兩種形式的亞式利率交換契約在不同參數變動下的變化情形,且發現利率期間結構的斜率及利率重設期間的長度,是影響標準的利率交換契約及亞式利率交換契約差異的很重要的因素。

摘要(英)

Abstract
This study uses the LIBOR Market Model to price Asian-style interest rate swaps. In an Asian-style interest rate swap contract, the floating payment is determined by the average LIBOR rate between two consecutive settlement dates under the LIBOR Market Model. We deal with the average LIBOR rates and compare two types of Asian-style interest rate swaps and standard interest rate swaps with different sets of interest rate parameters. We find out that the shape of the initial term structure and the reset periods of the interest rate swap are important factors to make the swap rates of the Asian-style and standard interest rate swaps different.

關鍵字(中)

★ 利率模型
★ 亞式
★ 交換契約

關鍵字(英)

★ Asian style
★ Swap
★ LIBOR Market Model

論文目次

Contents
1. Introduction………………………………………………………………1
2. Literature Review………………………………………………………2
3. The Model…………………………………………………………………5
3.1 The LIBOR Market Model………………………………………………5
3.1.1 The LIBOR Dynamic Process…………………………………………6
3.1.2 The Terminal Measure……… … ……………… …………………7
3.1.3 LIBOR Rate Resetting Under Non-Standard Expiry-Maturity…8
3.2 The Standard Interest Rate Swap……………………………………9
3.3 Asian-Style Interest Rate Swap………………………… …………10
3.3.1 Type 1-Asian-Style Interest Rate Swap…………………………10
3.3.2 Type 2-Asian-Style Interest Rate Swap…………………………12
4. Numerical Results………..……………………………………………13
5. Conclusions and Future Research……………………………………15
Reference…………………………………………………………….………17
Appendix……………………………………………………………19
List of Figures
Figure 1…………………………………………………………………20
Figure 2…………………………………………………………………20
Figure 3…………………………………………………………………21
Figure 4…………………………………………………………………22
Figure 5…………………………………………………………………22
Figure 6…………………………………………………………………23
Figure 7…………………………………………………………………24
Figure 8…………………………………………………………………24
Figure 9…………………………………………………………………25
Figure 10……………………………………………………………….26
Figure 11……………………………………………………………….26
Figure 12 ………………………………………………………………27
List of Table
Table 1………………………………………………………………..…28
Table 2……………………………………………………………..……28
Table 3…………………………………………………………..………28
Table 4…………………………………………………………..………29
Table 5…………………………………………………………..………29
Table 6…………………………………………………………..………29
Table 7…………………………………………………………..………30
Table 8…………………………………………………………..………30
Table 9…………………………………………………………..………30
Table 10…………………………………………………………………31
Table 11…………………………………………………………………31
Table 12 …………………………………………………...……………31

參考文獻

Reference
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指導教授

張傳章(Chuang-Chang Chang)

審核日期

2006-1-17

推文