政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/99341
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 11 |  全文笔数/总笔数 : 89671/119468 (75%)
造访人次 : 23934446      在线人数 : 227
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/99341


    请使用永久网址来引用或连结此文件: http://nccur.lib.nccu.edu.tw/handle/140.119/99341


    题名: 負利率環境下衍生性金融商品的定價
    Derivative Pricing Under Negative Interest Rate Environment
    作者: 張博能
    Chang, Po Neng
    贡献者: 林士貴
    Lin, Shih Kuei
    張博能
    Chang, Po Neng
    关键词: 負利率政策
    利率衍生性商品定價
    隨機波動度
    SABR 模型
    Negative Interest Rate Policy
    Interest Rate Derivative Pricing
    Stochastic Volatility
    SABR Model
    日期: 2016
    上传时间: 2016-07-20 17:16:48 (UTC+8)
    摘要: 本篇學位論文探討在負利率環境底下的利率衍生性商品之定價模型,主要貢獻點在於藉由負利率市場資料驗證負利率定價模型的表現,並且比較傳統模型與負利率模型在正利率經濟環境的表現優劣。自從負利率政策實施以來,金融市場利率體系與定價機制已經發生深刻變化。傳統的定價模型在負利率的市場環境下無法穩定且正確的定價利率金融商品,面對新的負利率金融環境,有必要發展新的定價觀點,協助金融機構商品評價與規避利率風險。部分學者放棄傳統模型的對數常態模型假設,改採用常態模型來修正資產價格的動態過程,試圖解決負利率環境下的定價矛盾。近年來幾位學者則改採用位移對數常態模型、以及自由邊界模型來刻劃資產遠期價格的動態過程,替負利率經濟的定價理論開闢了新的一哩路。此外,穩定且正確的避險參數測量也是研究者們關心的重要議題。本論文探討幾位學者修正傳統SABR模型的觀點,進一步使用歐洲利率市場與美國利率市場的商品資料進行模型的參數校準,針對負利率環境下商品定價與風險管理上提出建議與發展方向。
    Negative rate in derivatives would be discussed in our thesis. Our main contribution is to provide the empirical results for these negative pricing model by negative interest rate market data. In addition, the experiment compares the performance between traditional pricing model and these negative pricing models by positive interest rate market data. Traditional pricing model could not work effectively and consistently under negative interest rate environment. Facing the challenge of negative interest rate policy, it is quite necessary for quants to develop the new perspective of pricing financial products and view of hedging the interest rate exposure. Several studies try to use the normal distribution instead of previous convention of the log normal assumption. Recently, both shifted diffusion and free boundary model have been widely introduced in related works. Thus, these approaches bring the new concepts and inspiration for some researchers. Furthermore, the stable and correct risk metrics is also a critical issue that market participants are concerned. Three modified SABR models from different literatures would be presented and calibrated by EUR market data and USD market data in this thesis. In the long run, there are some suggestions and future studies proposed in our work for the financial product pricing and risk management in a negative interest rate capital market.
    參考文獻: [1] Antonov, A., Konikov, M., & Spector, M. (2015). The free boundary SABR: natural extension to negative rates. Available at SSRN 2557046.
    [2] Antonov,A.,Konikov,M.,&Spector,M.(2015).MixingSABRmodelsfornegativerates. Available at SSRN 2653682.
    [3] Antti, H. (2016). Using a normal jump-diffusion model for interest variation in a low rate and high volatility environment. Helsinki center of economic research, discussion paper, No. 402.
    [4] Bachelier L. (1900). Théorie de la spéculation, Annales Scientifiques de lÉcole Normale Supérieure 3 (17).
    [5] Bartlett, B. (2006). Hedging under SABR model. Wilmott magazine, 4, 2-4.
    [6] Bianchetti,M.,& Carlicchi,M (2011). Interest rates after the credit crunch: Multiple curve vanilla derivatives and sabr. Available at SSRN 1783070.
    [7] Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of political economy, 637-654.
    [8] Black, F. (1976). The pricing of commodity contracts. Journal of financial economics, 3(1), 167-179.
    [9] Black, F. (1995). Interest rates as options. Journal of Finance, 50(5), 1371-1376.
    [10] Breeden, D. T., & Litzenberger, R. H. (1978). Prices of state-contingent claims implicit in option prices. Journal of business, 621-651.
    [11] Crispoldi, C., Wigger, G., & Larkin, P. (2015). SABR and SABR LIBOR market models in practice: with examples implemented in python. Springer.
    [12] Derman, E., Kani, I., & Chriss, N. (1994). Implied trinomial tress of the volatility smile. Journal of derivatives, 3(4), 7-22.
    [13] Dupire, B. (1994). Pricing with a smile. Risk, 7(1), 18-20.
    [14] Dupire, B. (1997). Pricing and hedging with smiles. Mathematics of derivative securities. Dempster and Pliska eds., Cambridge Uni. Press.
    [15] Hagan,P.S.,&Woodward,D.E (1999). Equivalent black volatilities. AppliedMathematical Finance, 6(3), 147-157.
    [16] Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk.The best of wilmott, 249.
    [17] Hagan, P. S., Kumar, D., Lesniewski, A., & Woodward, D. (2014). Arbitrage free SABR. Wilmott, 2014(69), 60-75.
    [18] Nohrouzian, H. (2015). An introduction to modern pricing of interest rate derivatives.
    [19] Henry-Labordére, P. (2008). Analysis, geometry, and modeling in finance: Advanced methods in option pricing. CRC Press.
    [20] Hull, J. C., & White, A. (2013). LIBOR vs. OIS: The derivatives discounting dilemma.Journal of investment management, forthcoming.
    [21] Hull,J.C.,&White,A(2014).OIS discounting, interest rate derivatives, and the modeling of stochastic interest rate spreads. Journal of investment management, forthcoming.
    [22] Jeanblanc, M., Yor, M., & Chesney, M. (2009). Mathematical methods for financial mar- kets. Springer Science & Business Media.
    [23] Frankena, L. H. (2016). Pricing and hedging options in a negative interest rate environ- ment (Doctoral dissertation, TU Delft, Delft University of Technology).
    [24] Oblój, J. (2007). Fine-tune your smile: Correction to Hagan et al. arXiv preprint arXiv: 0708.0998.
    [25] Rebonato, R., McKay, K., & White, R. (2011). The SABR/LIBOR market model: pricing, calibration and hedging for complex interest rate derivatives. John Wiley & Sons.
    [26] Kooiman,T(2015).Master Thesis Negative Rates in Financial Derivatives(unpublished).
    [27] Jönsson, M., & Sámark, U. (2016). Negative rates in a multi curve framework cap pricing and volatility transformation (unpublished).
    28] Jermann, U. J. (2016). Negative swap spreads and limited arbitrage. Available at SSRN.
    [29] van der Have, Z. (2015). Arbitrage-free methods to price European options under the SABR model (Doctoral dissertation, Delft University of Technology).
    [30] West,G (2005). Calibration of the SABR model in illiquid markets. Applied Mathematical Finance, 12(4), 371-385.
    描述: 碩士
    國立政治大學
    金融學系
    1033520091
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G1033520091
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    009101.pdf2427KbAdobe PDF559检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈