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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 呂育道(Yuh-Dauh Lyuu) | |
dc.contributor.author | Yi-Chun Wu | en |
dc.contributor.author | 吳宜駿 | zh_TW |
dc.date.accessioned | 2021-06-14T16:43:25Z | - |
dc.date.available | 2009-08-14 | |
dc.date.copyright | 2008-08-14 | |
dc.date.issued | 2008 | |
dc.date.submitted | 2008-07-30 | |
dc.identifier.citation | [1] Ammann, M., Kind, A., and Wilde., C. Are Convertible Bonds Underpriced? An Analysis of the French Market. Journal of Banking and Finance, 2003, pp. 635-653.
[2] Ammann, M., Kind, A., and Wilde., C. Simulation-Based Pricing of Convertible Bonds. University of St. Gallen, Sankt Gallen, Switzerland, July 2005. [3] Black, F., Derman, E., and Toy., W. A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options. Financial Analysts Journal, January-February 1990, pp. 33-39. [4] Brennan, M.J., and Schwartz, E.S. Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion. Journal of Finance, 32(5), December 1977, pp. 1699-1715. [5] Brennan, M.J., and Schwartz, E.S. Analyzing Convertible Bonds. Journal of Financial and Quantitative Analysis, 15(4), November 1980, pp. 907-929. [6] Brunner, T., Deinzer, F., Feldmann, T., Kubias, A.K., Paulus, D., Paulus, S., and Schreiber Bernd. 2D/3D Image Registration on the GPU. University of Koblenz-Landau, Koblenz, Germany, 2007. [7] Chambers, D.R., and Lu, Q. A Tree Model for Pricing Convertible Bonds with Equity, Interest Rate, and Default Risk. Journal of Derivatives, 14(4), Summer 2007, pp. 25-46. [8] Compare Infobase Ltd. http://nance.mapsofworld.com/bondmarket/ convertible.html. [9] Connolly, K.B. Pricing Convertible Bonds, John Wiley and Sons Ltd., New York, 1998. [10] Diez, D.C., Mueller, H., and Frangakis, A.S. Implementation and performance evaluation of reconstruction algorithms on graphics processors. Journal of Structural Biology, 157, 2007, pp. 288-295. [11] Freddolino, P.L., Hardy, D.J., Phillips, J.C., Schulten, K., Stone, J.E., and Trabuco, L.G. Accelerating Molecular Modeling Applications with Graphics Processors. Journal of Computational Chemistry, 2007, pp. 2618-2640. [12] Ho, T.S.Y., and Pfeffer, D.M. Convertible Bonds: Model, Value Attribution, and Anaytics. Financial Analysts Journal, Semptember-October 1996, pp. 35-44. [13] Hull, J.C. Options, Futures, and Other Derivatives, 6th Edition, Pearson Education, Inc, New Jersey, 2006. [14] Hennessy, J.L., and Patterson, D.A. Computer Organization and Design, 3rd Edition, Elsevier Inc., Morgan Kaufmann, San Francisco, CA, 2005. [15] Hung, M.-W., and Wang, J.-Y. Pricing Convertible Bonds Subject to Default Risk. Journal of Derivatives, 10(2), Winter 2002, pp. 75-87. [16] Ingersoll, J.E. A Contingent Claim Valuation of Convertible Securities. Journal of Financial Economics, 4, 1977, pp. 289-321. [17] Intel Corporation. http://www.intel.com/technology/mooreslaw/. [18] Jarrow, R. A., and Turnball, S.M. Pricing Derivatives on Financial Securities Subject to Credit Risk. Journal of Finance, 50(1), March 1995, pp.53-85. [19] Krakiwsky, S.E., Okoniewski, M.M., and Turner, L.E. Acceleration of Finite-Di erence Time-Domain (FDTD) Using Graphics Processor Units (GPU). IEEE MTT-S Digest, 2004, pp. 1033-1036. [20] Lvov, D., Yigitbasioglu, A.B., and Bachir, N.E. Pricing Convertible Bonds by Simulation. ICMA Centre., The University of Reading, UK, May 2004. [21] Lyuu, Y.-D. Financial Engineering and Computation, Cambridge Unversity Press, Cambridge, UK, 2004. [22] McConnell, J.J., and Schwartz, E.S. LYON Taming. Journal of Finance, 41(3), July 1986, pp. 561-577. [23] My Stock Market Power. http://www.mysmp.com/bonds/convertiblebonds.html. [24] NVIDIA Corporation. CUDA Technical Training, Volume I: Introduction to CUDA Programming, Santa Clara, CA, 2008. [25] NVIDIA Corporation. NVIDIA CUDA Compute Uni ed Device Architecture, Programming Guide, Version 1.1, Santa Clara, CA, November 2007. [26] NVIDIA Corporation. http://www.nvidia.com/object/feature powermizer.html. [27] Philips, G.A. Convertible Bond Markets, Macmillan Press Ltd, London, 1997. [28] Qualcomm Incorporated. http://www.qualcomm.com/press/releases/2007/ 071114 Qualcomm Snapdragon.html. [29] Tsiveriotis, K., and Fernandes, C. Valuing Convertible Bonds with Credit Risk. Journal of Fixed Income, 8(2), September 1998, pp. 95-102. [30] Zhang, Q., and Zhang, Y. Hierarchical clustering of gene expression profiles with graphics hardware acceleration. Pattern Recognition Letters, 27, 2006, pp. 676-681. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/40252 | - |
dc.description.abstract | 可轉換債券同時包含了債券及股票的特色,為目前愈來愈受歡迎之衍生性金融商品。因為它多樣的特性而增加了可轉換債券評價之難度。Chambers和Lu提出一個精確的二項因子可轉換債券評價樹。此評價樹演算法之時間複雜度為相對較高的O(n3)。
本篇論文我們實作Chambers和Lu的評價樹於中央處理器(CPUs)及圖形處理器(GPUs)上。程式利用了圖形處理器強大的平行處理運算能力及高記憶體頻宽。數據結果顯示在圖形處理器上之執行時間比在中央處理器上快了數倍,尤其當n大於1000時,差異更為明顯。在圖形處理器上之評價結果並且可和中央處理器上一樣準確。我們現在可於Chambers和Lu的評價樹上更加快速獲得可轉換債券的價格,並且不犠牲其精確度。 | zh_TW |
dc.description.abstract | Convertible bonds are now popular derivatives
which incorporate the features of bonds and equities. It is difficult to price convertible bonds with their various features. Chambers and Lu propose an accurate two-factor tree model for convertible bonds pricing. The time complexity of that algorithm is the relatively high O(n^3). In this thesis, we implement Chambers and Lu's tree model on GPUs and CPUs. The code exploits GPUs' computational power in parallel processing and high memory bandwidth. The numerical results show that the execution time on GPUs is several times faster than on CPUs, especially with n > 1000. The pricing results on GPUs are also as accurate as on CPUs. We can now obtain convertible bonds' price much faster with Chamber and Lu's model without sacrificing accuracy. | en |
dc.description.provenance | Made available in DSpace on 2021-06-14T16:43:25Z (GMT). No. of bitstreams: 1 ntu-97-R95922080-1.pdf: 1346910 bytes, checksum: 44e469f93be0457cbaf0e2d9779f444b (MD5) Previous issue date: 2008 | en |
dc.description.tableofcontents | 1 Introduction 7
2 Convertible Bonds 9 2.1 Convertible Bonds Overview . . . . . . . . . . . . . 9 2.2 Benefits of Convertible Bonds . . . . . . . . . . . . 11 2.3 Risks of Convertible Bonds . . . . . . . . . . . . . .14 3 Convertible Bonds Pricing Model 17 3.1 Literature Review . . . . . . . . . . . . . . . . . . 17 3.2 Traditional Tree Models . . . . . . . . . . . . . . . 18 3.3 Chambers and Lu's Tree Model . . . . . . . . . . . . .21 3.4 Our Implementation Methodology . . . . . . . . . . . .27 4 GPU Implementation 31 4.1 CPU and GPU Comparison . . . . . . . . . . . . . . . .32 4.2 Chambers and Lu's Model on GPU . . . . . . . . . . . .35 5 Numerical Results 41 5.1 Implementation Results of the Chambers and Lu's Tree Model . . . . 43 5.2 Performance of GPU Implementation . . . . . . . . . . 46 5.3 Discussions . . . . . . . . . . . . . . . . . . . . . 51 6 Conclusions 55 | |
dc.language.iso | en | |
dc.title | 可轉換債券評價樹考慮股價、利率及違約風險於圖形處理器上之效能 | zh_TW |
dc.title | Performance of GPU for a Tree Model for Convertible Bonds Pricing with Stock Price, Interest Rate, and Default Risks | en |
dc.type | Thesis | |
dc.date.schoolyear | 96-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 戴天時,金國興 | |
dc.subject.keyword | 可轉換債券,評價,利率,違約,風險,選擇權評價,樹模型,圖形運算單元,計算整合裝置結構,平行處理, | zh_TW |
dc.subject.keyword | convertible bonds,pricing,interest rate,default rate,option pricing,tree model,GPU,CUDA,parallel processing, | en |
dc.relation.page | 54 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2008-08-01 | |
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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