Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/31219
|
| Title: | 跨國經濟體系下Quanto Range Accrual Notes的評價與避險
Pricing and Hedging of Quanto Range Accrual Notes under Gaussian HJM with Cross- Currency Levy Processes |
| Authors: | 徐保鵬
Hsu, Pao Peng |
| Contributors: | 廖四郎
Liao, Szu Lang
徐保鵬
Hsu, Pao Peng |
| Keywords: | 區間票息債券
Range Accrual Notes
Compound-Poisson jump
Hedging Strategy |
| Date: | 2008 |
| Issue Date: | 2009-09-14 09:33:18 (UTC+8) |
| Abstract: | This dissertation analyzes the pricing and hedging problems for quanto range accrual note under the HJM-framework with Levy processes for instantaneous domestic and foreign forward interest rates. We consider both the effects of jump risks of interest rate and exchange rate on the pricing of the notes.
The pricing formula for quanto double interest rate digital option and quanto contingent payoff option are first derived, then we apply the method proposed by Turnbull(1995) to duplicate the qaunto range accrual note by a combination of the quanto double interest rate digital option and the qunato contingent payoff option. Furthermore, using the pricing formulas derived in this paper, we obtain the hedging position for each issue of range accrual notes.
In addition, by simulation and assuming the jump to be compound Poisson process, we further analyze the effects of jump risk and exchange rate risk on the coupons receivable in holding a range accrual note.
This dissertation analyzes the pricing and hedging problems for quanto range accrual note under the HJM-framework with Levy processes for instantaneous domestic and foreign forward interest rates. We consider both the effects of jump risks of interest rate and exchange rate on the pricing of the notes.
The pricing formula for quanto double interest rate digital option and quanto contingent payoff option are first derived, then we apply the method proposed by Turnbull(1995) to duplicate the qaunto range accrual note by a combination of the quanto double interest rate digital option and the qunato contingent payoff option. Furthermore, using the pricing formulas derived in this paper, we obtain the hedging position for each issue of range accrual notes.
In addition, by simulation and assuming the jump to be compound Poisson process, we further analyze the effects of jump risk and exchange rate risk on the coupons receivable in holding a range accrual note. |
| Reference: | 1.Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options. Review of Financial Studies, 9, 69-107.
2.Bates, D. S. (2000). Post-’87 crash fears in the S&P 500 futures option market. Journal of Econometrics, 94, 181-238.
3.Björk, T., Kabanov, Y., & Runggaldier, W. (1997). Bond market structure in the presence of marked point processes. Mathematical Finance, 7(2), 211-223.
4.Brace, A., Gatarek, D. & Musiela, M. (1997). The Market Model of Interest Rate Dynamics. Mathematical Finance, 7, 127-147.
5.Carr, P., & Madan, D. B. (1999). Option valuation using the fast Fourier transform. Journal of Computational Finance, 2, 61-73.
6.Cox, J. C., Ingersoll. J. E. & Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53(2), 385-408.
7.Cont, R., & Tankov, P. (2004). Financial modelling with jump processes. CRC Press.
8.Das, S. R. (1995). Jump-Diffusion processes and the bond markets. Working paper, Santa Clara University.
9.Das, S. R. (2002). The surprise element: Jumps in interest rates. Journal of Econometrics, 106, 27-65.
10.Driessen, J., Klaassen, P., & Melenberg, B. (2000). The performance of multi-factor term structure models for pricing and hedging caps and swaptions. Working paper, Tilburg University.
11.Dwyer, G. P., & Hafer, R. W. (1989). Interest rates and economic announcements. Technical report, Federal Reserve Bank of St. Louis.
12.Eberlein, E., & Raible, S. (1999). Term structure models driven by general Levy processes. Mathematical Finance, 9, 31-53.
13.Eberlein, E., & Ozkan, F. (2005). The Levy Libor model. Finance and Stochastic, 9, 372-348.
14.Eberlein, E., & Kluge, W. (2006). Valuation of floating range notes in Levy term-structure models. Mathematical Finance, 16(2), 237-54.
15.Gibson, R., & Schwartz, E. S. (1990). Stochastic Convenience Yield And the Pricing of Oil Contingent Claims. Journal of Finance, 45(3), 959-976.
16.Glasserman, P., & Kou, S. G. (2003). The term structure of simple forward rates with jump Risk. Mathematical Finance, 13(3), 383-410.
17.Hardouvelis, G. A. (1988). Economic news, exchange rates and interest rates. Journal of International Money and Finance, 7(1), 23-35.
18.Heston, S. L. (1995). A model of discontinuous interest rate behaviour, yield curves and volatility. Working Paper, University of Maryland.
19.Huang, S.C., & Hung, M. W. (2005). Pricing foreign equity options under Levy processes. The Journal of Futures Markets, 25 (10), 917-944.
20.Hull, J. & White, A. (1990). Pricing Interest Rate Derivative Securities. Review of Financial Studies. 3, 573-592.
21.Jarrow, R. A., & Turnbull, S. M. (1994). Delta, gamma and bucket hedging of interest rate derivatives. Applied Mathematical Finance, 1, 21-48.
22.Jiang, G. J. (1998). Jump-Diffusion Model of Exchange Rate Dynamics Estimation Via Indirect Inference. Issues in Computational Economics and Finance, edited by S. Holly and S. Greenblatt, Amsterdam: Elsevier.
23.Johnson, G. & Schneeweis, T. (1994). Jump-Diffusion Processes in the Foreign Exchange Markets and the Release of Macroeconomic News. Computational Economics, 7, 309-329.
24.Jorion, P. (1988). On Jump Processes in the Foreign Exchange and Stock Markets. Review of Financial Studies, 1, 427-445.
25.Koval, N. (2005). Time-inhomogeneous Lévy processes in cross-currency market models. Dissertation. Universität Freiburg
26.Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3, 125-144.
27.Naik, V., & Lee, M. (1990). General equilibrium pricing of options on the market portfolio with discontinuous returns. Review of Financial Studies, 3, 493-521.
28.Navatte, P., & Quittard-Pinon, F. (1999). The valuation of interest rate digital options and range notes revisited. European Financial Management, 5(3), 425-440.
29.Nunes, J. P. V. (2004). Multifactor valuation of floating range notes. Mathematical Finance, 14(1), 79-97.
30.Park, K., Kim, M. & Kim, S. (2006). On Monte Carlo Simulation for the HJM Model Based on Jump. Lecture Notes in Computer Science, 38-45.
31.Raible, S. (2000). Lévy processes in finance: theory, numerics, and empirical Facts. Dissertation. Universität Freiburg
32.Reiner, E. (1992). Quanto mechanics. Risk, 5(3), 59-63.
33.Shirakawa, H. (1991). Interest rate option pricing with Poisson-Gaussian forward rate curve processes. Mathematical Finance, 1(4), 77-94.
34.Strickland, C. (1996). A Comparison of Models of the Term Structure. Journal of European Finance, 2, 261-287.
35.Takahashi, A., Takehara, K. & Yamazaki, A. (2006). Pricing Currency Options with a Market Model of Interest Rates under Jump-Diffusion Stochastic. CIRJE Discussion Papers.
36.Turnbull, S. (1995). Interest rate digital options and range notes. Journal of Derivatives, 3(2), 92-101.
37.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of financial Economics, 5, 177-188.
38.Zhang, B. (2006). A new Levy based short rate model for the fixed income market and its estimation with particle filter. Dissertation. University of Maryland. |
| Description: | 博士
國立政治大學
金融研究所
91352502
97 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0913525021 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| index.html | 0Kb | HTML2 | 174 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
