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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/54786完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源 | |
| dc.contributor.author | Bo-Cheng Pan | en |
| dc.contributor.author | 潘柏丞 | zh_TW |
| dc.date.accessioned | 2021-06-16T03:38:30Z | - |
| dc.date.available | 2020-08-11 | |
| dc.date.copyright | 2015-08-11 | |
| dc.date.issued | 2015 | |
| dc.date.submitted | 2015-03-13 | |
| 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.
Amin K. L., and Jarrow R. A. 1991. Pricing foreign currency options under stochastic interest rates. Journal of International Money and Finance :10-329. Ball C. A., and Torous W. N. 1999. The Stochastic Volatility of Short-Term Interest Rates: Some International Evidence. Journal of Finance, 54:2339-59. Brigo D., and Mercurio F. 2006. Interest Rate Models –Theory and Practice: With Smile, Inflation and Credit. Springer Finance(Second Edition). Duffie D., J. Pan and Singleton K. 2000. Transform Analysis and Asset Pricing for Affine Jump-Diffusions. Econometrica, 68:1343–76. Grzelak L., and Oosterlee K. 2009. On The Heston Model with Stochastic Interest Rates. Munich Personal RePEc Archive. Heath D., Jarrow R., and Morton A. 1992. Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation. Econometrica, 60:77–05. Heston S. 1993. A closed-form solution for options with stochastic volatility and applications to bond and currency options. Review of Financial Studies, 6(2): 327-343. Jarrow R., and Yildirim Y. 2003. Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model. Journal of Financial and Quantative Analysis, 38:409-430. Kruse S. 2009. On the Pricing of Ination-Indexed Caps. Journal of Economic Literature. working paper. Korn R. and Kruse S. 2004. A simple model to value inflation-linked financial products, (in German), Bl‥atter der DGVFM, XXVI (3), 351-367. Mercurio F. 2005. Pricing Ination-Indexed Derivatives, Quantitative Finance, 5(3): 289-302. Munk C. 2003. Fixed Income Analysis: Securities, Pricing, and Risk Management. Oxford University Press. Mecurio F., and Moreni N. 2005. Pricing Inflation-Indexed Options with Stochastic Volatility. Product and Business Developement Group, Banca Imi, San Paolo Imi Group. Stewart A. 2007. Pricing Inflation-Indexed Derivatives Using the Extended Vasicek Model of Hull and White. Working paper. Stehlikova B. 2007. Averaged bond prices for Fong-Vasicek and the generalized Vasicek interest rates models. Mathematical Methods In Economics And Industry. Singor S. N., Grzelak L. A., van Bragt D. B., and Oosterlee C. W. 2011. Pricing Inflation Products with Stochastic Volatility and Stochastic Interest Rates. Insurance.-Amsterdam,52(2) : 286-299 Trolle A. B., and Schwartz E. S. 2009. A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives. Review of Financial Studies 22（5）, 2007-2057. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/54786 | - |
| dc.description.abstract | 本文以Heston與Fong-Vasicek模型為基礎。Heston模擬物價指數，並結合Fong- Vasicek模擬名目利率，實質利率以及各自的波動率，其中各個隨機過程的相關性不為零。Heston模型可以捕捉在通貨膨脹選擇權中的波動性微笑與波動性偏離；Fong-Vasicek模型可以解決以往文獻利率波動度為deterministic的問題。本文將隨機過程推導致T Forward Measure之下，利用蒙地卡羅法評價通貨膨脹選擇權。 | zh_TW |
| dc.description.abstract | We consider a Heston type inflation model in combination with a Fong-Vasicek model for nominal and real interests and their variance, in which correlations can be non-zero. Due to the presence of Heston dynamics our derived inflation model is able to capture the implied volatility smile/skew, which is present in the inflation market data. Fong-Vasicek model can capture the stochastic interest rate volatility which is deterministic in the previous papers. We derive the dynamic under T Forward measure, and use the Monte Carlo Simulation to price the inflation options. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T03:38:30Z (GMT). No. of bitstreams: 1 ntu-104-R01723080-1.pdf: 984917 bytes, checksum: d88b8900d93e9d9e41aea7cc34151b95 (MD5) Previous issue date: 2015 | en |
| dc.description.tableofcontents | 摘要 I
ABSTRACT II 一、簡介 1 1.1研究動機 1 1.2文獻回顧 4 1.3研究目的 7 1.4研究架構 8 二、模型介紹與定理 10 2.1 VASICEK 模型 10 2.2 CIR模型 10 2.3 HULL WHITE模型 11 2.4 HESTON 模型 11 2.5 FONG VASICEK模型 12 2.6計價單位轉換定理 13 2.7 本文模型設定 14 三、商品介紹 17 3.1 ZERO-COUPON INFLATION-INDEXED SWAPS(ZCIIS) 17 3.2YEAR-ON-YEAR INFLATION-INDEXED SWAPS(YYIIS) 18 3.3 INFLATION INDEXED CAPS AND FLOORS 18 四、測度調整 20 4.1 風險中立實質經濟體與風險中立名目經濟體介紹 20 4.2 T FORWARD MEASURE介紹 21 4.3 測度轉換至名目風險中立測度 22 4.4 風險中立測度轉換至T FORWARD MEASURE 23 五、數值分析 26 5.1 資料描述 26 5.2 參數估計 26 5.3蒙地卡羅法進行數值分析 27 六、結論 33 參考文獻 34 附錄 37 | |
| dc.language.iso | zh-TW | |
| dc.subject | 通貨膨脹選擇權 | zh_TW |
| dc.subject | 外匯分析法 | zh_TW |
| dc.subject | Fong-Vasicek模型 | zh_TW |
| dc.subject | 隨機波動度 | zh_TW |
| dc.subject | Heston模型 | zh_TW |
| dc.subject | Inflation options | en |
| dc.subject | Foreign Currency Analysis | en |
| dc.subject | Stochastic volatility | en |
| dc.subject | Heston model | en |
| dc.subject | Fong-Vasicek model | en |
| dc.title | 隨機利率波動性下對通貨膨脹衍生性金融商品定價 | zh_TW |
| dc.title | Pricing Inflation Derivatives Within Interest Rate Stochastic Volatility | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 103-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 謝承熹,邱嘉洲 | |
| dc.subject.keyword | Fong-Vasicek模型,Heston模型,隨機波動度,外匯分析法,通貨膨脹選擇權, | zh_TW |
| dc.subject.keyword | Fong-Vasicek model,Heston model,Stochastic volatility,Foreign Currency Analysis,Inflation options, | en |
| dc.relation.page | 37 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2015-03-13 | |
| 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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