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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源 | |
| dc.contributor.author | Yun Liu | en |
| dc.contributor.author | 劉芸 | zh_TW |
| dc.date.accessioned | 2021-06-16T23:54:26Z | - |
| 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 J. Lund. 1997. Estimating Continuous-Time Stochastic Volatility Models of the Short-Term Interest Rate. Journal of Econometrics 77:343–77.
Andersen, T. G., and L. Benzoni. 2010. Can Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models. Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, 04. 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., P. Collin-Dufresne, and R. Goldstein. 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 Realizations 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., J.E. Ingersoll. , and S.A. Ross. 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 Studies16:631–78. 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. Li, H., and F. Zhao. 2006. Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives. Journal of Finance 61:341–78. Merton, Robert C. 1976. Option Pricing when Underlying Stock Returns are Discontinuous. Journal of Finance 29, 449-470. 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 Modeling of Defaultable Bonds. Review of Derivatives Research 2, 161–192. Shreve, Steven E. 2004. Stochastic Calculus for Finance II Continuous Time Models. Springer. Bjork, Tomas. 2009. Arbitrage Theory in Continuous Time. Second Edition, Oxford University Press. Trolle, A. B., and E. S. Schwartz. 2007. 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/123456789/65621 | - |
| dc.description.abstract | 本文一般化 Trolle and Schwartz (2009) 的模型假設， 加入信用風險因子的設定，利用Martingale的評價方式，可以得到無隨機波動因子的有、無信用風險零息債券價格，也就是說，只要給定參數和隨機波動度的曲線，就可以計算出有、無信用風險零息債券價格；因為信用風險假設符合Duffie, Pan and Singleton (2000) (簡稱DPS)提出的Affine Jump-Diffusions(簡稱AJD)條件，有信用風險的零息債劵選擇權評價公式具有解析解。 | zh_TW |
| dc.description.abstract | We provide a general form of Trolle and Schwartz(2009)’s model, a Heath–Jarrow–Morton model with unspanned stochastic volatility (USV), and add credit risk in our model. This model has finite dimension Markovian property and has the affine jump diffusion property (AJD) as Duffie, Pan and Singleton (2000) paper. Consequently, we can obtain defaultable bond option prices with analytic form. We also provide a defaultable/default free zero coupon bond price without random variables by the way of martingale pricing. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T23:54:26Z (GMT). No. of bitstreams: 1 ntu-101-R99723031-1.pdf: 4083412 bytes, checksum: 262ab502f9b80f7ac843507d54e7ac71 (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | 口試委員會審定書 i
摘要 ii 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、 HEATH-JARROW-MORTON 基本模型架構 5 三、 無信用風險的隨機波動利率結構模型之基本假設和模型設定 6 1. 風險中立測度下的無信用風險模型架構 6 2. 風險中立測度下的無信用風險遠期和即期利率 7 3. 無信用風險零息債劵價格 8 四、 有信用風險隨機波動利率結構模型之基本假設和模型設定 10 1. 風險中立測度下的信用風險模型架構 10 2. 風險中立測度下的有信用風險遠期利率 11 3. 風險中立測度下的有信用風險即期利率 13 4. 有信用風險零息債劵價格 14 5. 對有信用風險零息債劵之歐式選擇權定價 18 五、 模型設定的探討 21 六、 數值結果 23 七、 結論 26 參考文獻 27 | |
| dc.language.iso | zh-TW | |
| dc.subject | Heath–Jarrow–Morton模型 | zh_TW |
| dc.subject | Markovian | zh_TW |
| dc.subject | 隨機波動度 | zh_TW |
| dc.subject | Affine Jump-Diffusions | zh_TW |
| dc.subject | 信用風險零息債券價格 | zh_TW |
| dc.subject | credit risk | en |
| dc.subject | Heath–Jarrow–Morton model | en |
| dc.subject | bond option prices | en |
| dc.subject | Markovian | en |
| dc.subject | unspanned stochastic volatility | en |
| dc.title | 有信用風險的USV利率期間結構模型之研究 | zh_TW |
| dc.title | Using USV Term Structure 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,Markovian,隨機波動度,Affine Jump-Diffusions,信用風險零息債券價格, | zh_TW |
| dc.subject.keyword | Heath–Jarrow–Morton model,unspanned stochastic volatility,credit risk,Markovian,bond option prices, | en |
| dc.relation.page | 30 | |
| 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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