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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源 | |
| dc.contributor.author | Chien-Chou Pan | en |
| dc.contributor.author | 潘建州 | zh_TW |
| dc.date.accessioned | 2021-06-16T23:54:22Z | - |
| dc.date.available | 2022-07-18 | |
| dc.date.copyright | 2012-07-26 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2012-07-19 | |
| 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.
Bhar, R., and C. Chiarella. 1997. Transformation of Heath-Jarrow-Morton Models to Markovian Systems. European Journal of Finance 3:1–26. Bahr, R., C. Chiarella., N. El-Hassan. and X. Zheng. 1999. “Reduction of Forward Rate Dependent HJM Models to Markovian Form: Pricing European Bond Options,” journal of computational and applied mathematics, School of Finance and Economics, University of Technology Sydney. Ball, C. A., and W. N. Torous. 1999. The Stochastic Volatility of Short-Term Interest Rates: Some International Evidence. Journal of Finance 54:2339–59. Benzoni, L. 1998,“Pricing Options under Stochastic Volatility: An Econometric Analysis,” Manuscript, University of Minnesota, Bremaud, P. 1981,“Point Processes and Queues, Martingale Dynamics,”New York: Springer-Verlag. Carverhill, A. 1994 ,“When is the Short Rate Markovian?,”Mathematical Finance 4（4）, 305-312. Casassus, J., Collin-Dufresne, P., and Goldstein, R. 2005,“Unspanned Stochastic Volatility and Fixed Income Derivatives Pricing,”Journal of Banking and Finance 29, 2723-49. Chiarella, C., and O. K. Kwon. 2001. Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model. Finance and Stochastics 237-257, School of Finance and Economics, University of Technology Sydney. Chiarella, C., and O. K. Kwon. 2003. Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields. Review of Derivatives Research 5:129–55. Chiarella, C., Samuel ,C. M. and Christina ,N. S. 2010 , “Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility,” Working Paper, Quantitative Finance Research Centre. Collin-Dufresne, P., and R. Goldstein 2002a,“Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility,”Journal of Finance 57, 1685-30. Collin-Dufresne, P., and R. Goldstein 2002b,“Pricing Swaption within an Affine Framework,”Journal of Derivatives 10, 1-18. Collin-Dufresne, P., and R. Goldstein 2003 ,“Generalizing the Affine Framework to HJM and Random Field Models,”Working Paper, U.C. Berkeley. Collin-Dufresne, P., R. Goldstein, , and C. Jones, 2003,“Identification and Estimation of‘Maximal’Affine Term Structure Models: An Application to Stochastic Volatility,”Working Paper, U.C. Berkeley. Cox, J.C., Ingersoll, J.E., and Ross, S.A. 1985,“A Theory of the Term Structure of Interest Rate,” Econometrica 53, 385-402. Dai, Q., and K. Singleton 2003,“Term Structure Dynamics in Theory and Reality, ”Review of Financial Studies 16, 631-78. Duffie, D., and R. Kan. 1996. A Yield-Factor Model of Interest Rates. Mathematical Finance 6:379–406. Duffie, D., and K. Singleton 1999,“Modeling Term Structures of Defaultable Bonds, ”Review of Financial Studies 12, 687-720. Duffie, D., J. Pan, and K. Singleton. 2000. Transform Analysis and Asset Pricing for Affine Jump-Diffusions. Econometrica 68:1343–76. Duffle, D.. 1994. 'Forward Rate Curves with Default Risk,' Working Paper, Graduate School of Business, Stanford University. Heath, D., R. Jarrow, and A. Morton. 1992. Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation. Econometrica 60:77–05. Jacod, Jean, and Albert N. Shiryaev. 1988. Limit Theorems for Stochastic Processes. Berlin, Heidelberg, New York: Springer. Jarrow, R., D. Lando, and S. Turnbull. 1997. A Markov Model for the Term Structure of Credit Spreads. Review of Financial Studies 10, 481-523. Ritchken,. P., and L. Sankarasubramanian. 1995. Volatility Structures of Forward Rates and the Dynamics of the Term Structure. Mathematical Finance 5（1）, 55-72. Schonbucher, P. 1998, ‘Term Structure Modelling of Defaultable Bonds’, Review of Derivatives Research 2, 161–192. Steven E. Shreve. 2004 Stochastic Calculus for Finance II Continuous Time Models. Springer. Tomas, Bjork. 2009 ,”Arbitrage Theory in Continuous Time,” Second Edition, Oxford University Press. Trolle, A. B., and E. S. Schwartz 2009,“Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives,” Review of Financial Studies 22 (11), UCLA and NBER. Trolle, A. B., and E. S. Schwartz 2009,“A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives,”Review of Financial Studies 22（5）, 2007-2057. Vasiček, O. 1977,“An Equilibrium Characterization of Term Structure,”Journal of Financial Economics 5, 177-188. 郭景婷 2010. 一般化 Heath-Jarrow-Morton 利率模型對利率衍生性金融商品定假. 國立台灣大學碩士論文 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/65620 | - |
| dc.description.abstract | 本文以Trolle and Schwartz (2008)的模型為基礎，從擴散項(diffusion term)機率分配相同的角度設定無信用風險的期限結構模型，同時在模型加入信用風險，此模型具有N個期限結構因子， N個非期限結構因子，同時讓遠期利率、隨機波動度、遠期信用利差三條隨機過程都具有Square Root的特性，亦即保證即期利率、隨機波動度、即期信用利差三者恆大於等於零。此模型具有有限維度馬可夫性質，在有限狀態變數的條件下，分別推導出風險中立下的無、有信用風險的債券價格，此模型亦符合Duffie, Pan and Singleton (2000)提出的Affine Jump Diffusion（AJD）條件，能解出歐式債券選擇權的解析解。 | zh_TW |
| dc.description.abstract | We provide a Heath–Jarrow–Morton model with Unspanned Stochastic Volatility (USV) and credit risk. From the diffusion term distribution point of view, we extend the Trolle and Schwartz (2008) USV HJM model and add credit risk. This model has risk free forward rate, stochastic volatility and forward credit spread with square root form. The model also has finite dimension Markovian property and has the affine jump diffusion property (AJD) as Duffie, Pan and Singleton (2000). Consequently, we can obtain defaultable bond option prices with analytic form. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T23:54:22Z (GMT). No. of bitstreams: 1 ntu-101-R99723061-1.pdf: 3071761 bytes, checksum: 5eed5641a24a322f8d0b55d484b292ba (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | 摘要 i
Abstract iii 一、 簡介 1 1. 文獻回顧 1 2. 研究動機與目的 3 3. 研究架構 3 二、 HJM模型介紹與設定 5 三、 無信用風險期的USV HJM模型 5 1. 風險中立測度下無信用風險USV HJM模型隨機過程設定與轉換 5 2. 風險中立測度下無信用風險遠期利率與即期利率隨機過程推導 8 3. 風險中立測度下無信用風險零息債券價格推導 9 4. 風險中立測度下無信用風險模型之DPS轉換式與歐式債券選擇權價格推導 10 5. 風險中立測度下無信用風險USV HJM模型歐式債券選擇權推導 12 四、 有信用風險的USV HJM模型 13 1. 風險中立測度下有信用風險 USV HJM 模型隨機過程設定與轉換 13 2. 風險中立測度下有信用風險遠期利率與即期利率隨機過程推導 16 3. 風險中立測度下有信用風險零息債券價格推導 18 4. 風險中立測度下有信用風險模型之DPS轉換式與歐式債券選擇權價格推導 20 5. 風險中立測度下有信用風險USV HJM模型歐式債券選擇權推導 22 五、 數值結果 23 六、 結論 26 參考文獻 27 | |
| dc.language.iso | zh-TW | |
| dc.subject | Heath–Jarrow–Morton模型 | zh_TW |
| dc.subject | 信用風險 | zh_TW |
| dc.subject | 信用利差 | zh_TW |
| dc.subject | 隨機波動度 | zh_TW |
| dc.subject | 馬可夫性質 | zh_TW |
| dc.subject | Square Root | zh_TW |
| dc.subject | AJD | zh_TW |
| dc.subject | 債券選擇權評價 | zh_TW |
| dc.subject | Markovian | en |
| dc.subject | Heath–Jarrow–Morton model | en |
| dc.subject | unspanned stochastic volatility | en |
| dc.subject | credit risk | en |
| dc.subject | bond option prices | en |
| dc.subject | Square Root | en |
| dc.title | 有信用風險的Heath-Jarrow-Morton利率模型對利率衍生性金融商品定價 | zh_TW |
| dc.title | Using Heath-Jarrow-Morton Model with Credit Risk to Price Interest Rate Derivatives | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 100-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 廖四郎,謝承熹 | |
| dc.subject.keyword | Heath–Jarrow–Morton模型,信用風險,信用利差,隨機波動度,馬可夫性質,Square Root,AJD,債券選擇權評價, | zh_TW |
| dc.subject.keyword | Heath–Jarrow–Morton model,unspanned stochastic volatility,credit risk,Square Root,Markovian,bond option prices, | en |
| dc.relation.page | 29 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2012-07-19 | |
| 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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