市場利率模型對區間型計息債券之定價及分析

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姓名

王薇楨(Wei-Jen Wang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

市場利率模型對區間型計息債券之定價及分析
(Pricing and Analyzing Range Note in LIBOR Market Model)

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摘要(中)

本篇論文主要是在對結構型商品：區間型計息債券之特性與此商品的價格變化與影響因素進行分析，而在評價上，則是利用市場利率模型以蒙地卡羅模擬方式進行定價，利用市場利率模型進行模擬，相較於其他模型，其校準的過程較為簡便，透過此模型的應用，希望能以較為直觀、簡單的方式，對區間型計息債券定價，並對定價之結果，及影響定價之因素進行探討，除此之外，針對區間型計息債券的特性，從發行者的角度對其避險策略進行分析。

摘要(英)

The aim of this article is to price and analyze the range note which is a kind of structure notes with the digital option embedded. First, we discuss the feature and the structural variation of the range note. Second, we use the Libor market model to price the range note and observe the variation of price under the changes of the structure of the contract, the parameter of model and the market term structure. Finally, we will provide the hedge strategy for the issuer of the range note through the analysis of structure.

關鍵字(中)

★ 市場利率模型
★ 區間型計息債券

關鍵字(英)

★ Range Note
★ LIBOR Market Model

論文目次

Content
1.Introduction…………………………………………………………………………1
2.Range Notes
2.1 Concept………………………………………………………………………….4
2.2 Structural Variations……………………………………………………………..6
2.2.1 Adjustment of range notes…………………………………………………6
2.2.2 Index variations…………………………………………………………….9
2.3 Pricing of range note……………………………………………………………..9
3.The Libor Market Model and Monte Carlo Simulation
3.1 Model Description……………………………………………………………….11
3.2 Libor Process ……………………………………………………………………12
3.3 Multi-factor Libor Market Model………………………………………………..14
3.4 Simulation………………………………………………………………………..15
4.Valuation and Analysis of Range Notes
4.1Numerical Result and Analysis………………………………………………….17
4.1.1Influence of yield curve variation……………………………………….19
4.1.2Influence of volatility variation………………………………………….20
4.2Influence of two-factor model …………………………………………………..21
5.Hedging of Range Notes
5.1 Measuring the risk of range note…………………………………………... 30
5.2 Hedging strategy…………………………………………………………………31
6.Conclusion 34
Reference…………………………………………………………………………….35

參考文獻

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of Financial and Quantitative Analysis,38, 635-672.
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指導教授

岳夢蘭(Meng-Lan Yueh)

審核日期

2005-7-12

推文