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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李賢源 | |
dc.contributor.author | Wei-Chun Hung | en |
dc.contributor.author | 洪瑋駿 | zh_TW |
dc.date.accessioned | 2021-06-16T22:59:01Z | - |
dc.date.available | 2017-08-15 | |
dc.date.copyright | 2012-08-15 | |
dc.date.issued | 2012 | |
dc.date.submitted | 2012-08-08 | |
dc.identifier.citation | Andersen, T. G., and Lund, J.(1997),“Estimating Continuous-Time Stochastic Volatility Models of the Short-Term Interest Rate,”Journal of Econometrics 77, 343-77.
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/64775 | - |
dc.description.abstract | 本文提供了一個遠期利率模型改善了Trolle and Schwartz (2009) 的模型,此模型可以解釋短期利率對於遠期利率的波動度的影響並且可保有利率恆正的性質。除此之外此模型可以藉由Duffie, Pan and Singleton (2000)提出的方法找出債券選擇權的解析解。本文藉由Filipovic, Mayerhofer and Schneider (2011)的方法找出了債券價格的機率密度函數提供了債券價格的另外一種計算方式。藉由對短期利率的隨機過程的分析,本文提供了逼近方法改善了Duffie, Pan and Singleton (2000)求出的公式過於複雜的問題。 | zh_TW |
dc.description.abstract | The new term structure model is provided in this paper. This model extends the model provided by Trolle and Schwartz (2009) so that the new model can explain the influence of spot rate on forward rate diffusion term. The advantages of this model are that it ensures the positive value on spot rate and volatility. Follow Duffie, Pan and Singleton (2000) framework, I provide an analytic solution on bond option pricing. Another contribution of this paper is that I use Filipovic, Mayerhofer and Schneider (2011) method to find the density of bond price and thus provide an alternative way to solve the bond option. In addition, by analyzing the spot rate dynamic, I provide a two entirely different approximation method to simplify the spot rate dynamic. And thus it makes the option pricing easier not only on Duffie, Pan and Singleton (2000) method but also Filipovic, Mayerhofer and Schneider (2011) method. | en |
dc.description.provenance | Made available in DSpace on 2021-06-16T22:59:01Z (GMT). No. of bitstreams: 1 ntu-101-R99723026-1.pdf: 830983 bytes, checksum: 189c1ce39d087571ca4f676f7caa7f9d (MD5) Previous issue date: 2012 | en |
dc.description.tableofcontents | 口試委員審定書 I
誌謝 II 摘要 III ABSTRACT IV 目錄 V 圖目錄 VII 表目錄 VIII SECTION 1 LITERATURE REVIEW 1 SECTION 2 TERM STRUCTURE MODEL UNDER HJM FRAMEWORK 6 2.1 HJM model under risk neutral measure 6 2.2 The model provided by Trolle and Schwartz (2009) 8 2.3 The model provide by Kuo(2010) 9 SECTION 3 NEW TERM STRUCTURE MODEL 11 3.1 The term structure model under risk neutral measure 11 3.2 Instantaneous forward rate under risk neutral measure 13 3.3 Markov property on the model 15 3.4 Bond price dynamic 17 3.5 Option on bond 18 SECTION 4 DENSITY APPROXIMATION METHOD 20 4.1 Representation of joint distribution of n dichotomous variables 21 4.2 Introduction to Hilbert space 24 4.3 The density approximation framework provided by Filipovic, Mayerhofer and Schneider 28 4.4 Numerical examples on Heston model 39 SECTION 5 DENSITY APPROXIMATION METHOD ON TERM STRUCTURE MODEL 44 5.1 The framework we should do before approximating density 44 5.2 Density approximation method 53 5.3 Approximation of DPS method 57 SECTION 6 NUMERICAL EXAMPLE OF DENSITY APPROXIMATION METHOD 61 6.1 The distribution of variables 62 6.2 Option price 64 6.3 Different maturity of bond option 67 6.4 The different spot rate approximation structure 69 SECTION 7 CONCLUSION 71 REFERENCE 73 | |
dc.language.iso | en | |
dc.title | 利用機率密度函數逼近法對Heath-Jarrow-Morton 模型下的利率衍生性商品定價 | zh_TW |
dc.title | Using Density Approximation Method to Price the Interest Rate Relative Derivative on General Heath-Jarrow-Morton Model | en |
dc.type | Thesis | |
dc.date.schoolyear | 100-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 謝承熹,鍾懿芳 | |
dc.subject.keyword | Heath–Jarrow–Morton模型,隨機波動度,unspanned volatility,債券選擇權評價,機率密度函數, | zh_TW |
dc.subject.keyword | Heath–Jarrow–Morton model,stochastic volatility,unspanned volatility,bond option pricing,density approximation, | en |
dc.relation.page | 78 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2012-08-08 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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