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    题名: 市場模型下利率連動債券評價 — 以逆浮動、雪球型、及每日區間型為例
    Callable LIBOR Exotics Valuation in Lognormal Forward LIBOR Model, Cases of Callable Inverse Floater, Callable Cumulative Inverse Floater, and Callable Daily Range Accrual Note
    作者: 趙子賢
    Chao, Tzu-Hsien
    贡献者: 廖四郎
    趙子賢
    Chao, Tzu-Hsien
    关键词: 結構債券
    市場模型
    最小平方蒙地卡羅法
    Structured Notes
    Lognormal Forward LIBOR Model
    Least-squares Monte Carlo Simulation
    日期: 2005
    上传时间: 2009-09-17 19:06:58 (UTC+8)
    摘要: 國內結構債市場業已蓬勃發展，市場模型亦相當適合結構債評價。本文在市場模型下，因市場模型不具馬可夫性質，運用最小平方蒙地卡羅法針對三連結標的為LIBOR的結構債進行評價。
    The market of the structured notes has been blossoming. The lognormal forward LIBOR model is more suitable for the valuation of structured notes than do the traditional interest rate models. In this article, we perform three case studies of the valuation of the structured notes linked to LIBOR in lognormal forward LIOBR model. It is easier to implement the lognormal forward LIBOR model by Monte Carlo simulation due to the non-Markovian property. Therefore, the least-squares Monte Carlo approach is used to deal with the callable feature of the structured notes in our case studies.
    參考文獻: 陳松男，金融工程學，華泰書局，民國九十一年一月初版。
    張欽堯，利率連動債券之評價與分析—BGM模型，政大金融研究所碩士論文，民國九十三年六月。
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    Piterbarg, V. (January 25, 2003a) Computing Deltas of Callable LIBOR Exotics in Forward LIBOR Models, Working Paper, Barclays Capital.
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    描述: 碩士
    國立政治大學
    金融研究所
    92352010
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0923520101
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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