請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/29909完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道 | |
| dc.contributor.author | Yu-Chun Wang | en |
| dc.contributor.author | 王禹鈞 | zh_TW |
| dc.date.accessioned | 2021-06-13T01:24:25Z | - |
| dc.date.available | 2010-07-19 | |
| dc.date.copyright | 2007-07-19 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-07-18 | |
| dc.identifier.citation | [1] Andersen, L. (2000) A Simple Approach to the Pricing of Bermudan Swaptions in the Multifactor LIBOR Market Model. Journal of Computational Finance, 3, 5-32.
[2] Brace, A., D. Gatarek, and M. Musiela. (1997) The Market Model of Interest Rate Dynamics. Mathematical Finance, 7, 127-155. [3] Derrick,S., D. Stapleton and R. Stapleton. (2005) The Libor Market Model: A Recombining Binomial Tree Methodology. [4] Heath, D., R.A. Jarrow, and A. Morton. (1992) Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation. Econometrica, 60, 1, January, 77-105. [5] Ho, T.S., R.C. Stapleton, and M.G. Subrahmanyam. (1995) Multivariate Binomial Approximations for Asset Prices with Non-Stationary Variance and Covariance Characteristics. Review of Financial Studies, 8, 1125-1152. [6] Hull, J. (2006) Options, Futures and Other Derivatives, 6th Edition. City: Prentice-Hull. [7] Hull, J., and A. White. (2000) Forward Rate Volatilities, Swap Rate Volatilities and the Implementation of the Libor Market Model. University of Toronto. [8] Lyuu, Y. (2002) Financial Engineering and Computation, City: Cambridge University Press. [9] Pliska, S. (1997) Introduction to Mathematical Finance: Discrete Time Models. Oxford: Blackwell. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/29909 | - |
| dc.description.abstract | 這篇論文是在描述利用Ho, Stapleton and Subrahmanyam在1995年提出的再結合二元樹模型，去實作LIBOR市場模型。再結合的二元樹模型提供了一個快速而且精確的方法去評價一些利率衍生性金融商品，甚至是路徑相依的商品。 | zh_TW |
| dc.description.abstract | The thesis is concerned with the implementation of the LIBOR market model, using the Ho, Stapleton and Subrahmanyam(1995) model, a recombining tree model. The recombining tree model provides a fast and accurate approach for the valuation of path{ dependent interest rate derivatives. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T01:24:25Z (GMT). No. of bitstreams: 1 ntu-96-R94922085-1.pdf: 422844 bytes, checksum: 60f8a39d4e948e8fbf0fba16bb530246 (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | 1 Introduction 2
2 The LIBOR Market Model 4 2.1 De‾nition of the LIBOR Market Model . . . . . . . . . . . . . . . . . 5 2.2 Implementation of the LIBOR Market Model . . . . . . . . . . . . . . 6 3 Methodology 7 3.1 The One-Factor HSS Model . . . . . . . . . . . . . . . . . . . . . . . 7 3.2 Application in LIBOR Market Model . . . . . . . . . . . . . . . . . . 11 4 The Pricing of Interest Rate Derivatives 14 5 Conclusions 18 | |
| dc.language.iso | en | |
| dc.subject | 利率上限選擇權 | zh_TW |
| dc.subject | LIBOR市場模型 | zh_TW |
| dc.subject | BGM | zh_TW |
| dc.subject | HSS | zh_TW |
| dc.subject | 再結合二元樹 | zh_TW |
| dc.subject | caplet | en |
| dc.subject | LIBOR market model (LMM) | en |
| dc.subject | BGM | en |
| dc.subject | recombining tree | en |
| dc.subject | HSS | en |
| dc.title | 利用再結合二元樹去實作LIBOR市場模型 | zh_TW |
| dc.title | Using Recombining Binomial Trees To Implement LIBOR Market Models | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 戴天時,金國興 | |
| dc.subject.keyword | LIBOR市場模型,BGM,HSS,再結合二元樹,利率上限選擇權, | zh_TW |
| dc.subject.keyword | LIBOR market model (LMM),BGM,HSS,recombining tree,caplet, | en |
| dc.relation.page | 21 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2007-07-18 | |
| dc.contributor.author-college | 電機資訊學院 | zh_TW |
| dc.contributor.author-dept | 資訊工程學研究所 | zh_TW |
| 顯示於系所單位： | 資訊工程學系 | |
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|---|---|---|---|
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