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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 | Jing-Yao Wang | en |
dc.contributor.author | 王靖堯 | zh_TW |
dc.date.accessioned | 2021-07-11T14:38:54Z | - |
dc.date.available | 2022-08-29 | |
dc.date.copyright | 2017-08-29 | |
dc.date.issued | 2017 | |
dc.date.submitted | 2017-06-30 | |
dc.identifier.citation | [1] Alexandre Antonov, Michael Konikov, and Michael Spector Numerix, “Mixing SABR models for Negative Rates”, SSRN, August 2015
[2] A. Lewis, “Option Valuation Under Stochastic Volatility”, Financial Press, 2000 [3] Berner, N. A. BNP Paribas, Private communication, 2000 [4] Bruno Dupire, “Pricing with a smile”, Risk, Jan. pp. 18–20, 1994 [5] Bruno Dupire, “Pricing and hedging with smiles”, in Mathematics of Derivative Securities, M.A. H. Dempster and S. R. Pliska, eds., Cambridge University Press, Cambridge, pp. 103–111, 1997 [6] B. Okdendal, Stochastic Differential Equations, Springer, 1998 [7] D. T. Breeden and R. H. Litzenberger, “Prices of state-contingent claims implicit in option prices”, J. Business, 51 pp. 621–651, 1994 [8] E. Derman and I. Kani, “Riding on a smile”, Risk, Feb. pp. 32–39, 1994 [9] E. Derman and I. Kani, “Stochastic implied trees: Arbitrage pricing with stochastic term and strike structure of volatility”, Int J. Theor Appl Finance, 1 pp. 61–110, 1998 [10] F. Black, “The pricing of commodity contracts”, Jour. Pol. Ec., 81 pp. 167–179, 1976. [11] F. Jamshidean, “Libor and swap market models and measures”, Fin. Stoch. 1 pp.293–330, 1997 [12] Fred Wan, “A Beginner’s Book of Modeling”, Springer-Verlag, Berlin, New York, . , 1991 [13] G.B. Whitham, Linear and Nonlinear Waves, Wiley, 1974 [14] Hagan, Patrick S., Kumar, D., Lesniewski, A. S., and Woodward, D. E., “Managing smile risk”, Wilmott, pp. 84-108, September 2002 [15] I. Karatzas and S. Shreve, Brownian Motion and Stochastic Calculus, Springer, 1988 [16] I. Karatzas, J.P. Lehoczky, S.E. Shreve, and G.L. XU, Martingale and duality methods for utility maximization in an incomplete market, SIAM J. Control Optim, 29 pp. 702–730, 1991 [17] J.C. Hull, “Options, Futures and Other Derivatives” Prentice-Hall. , 1997 [18] J.C. Neu, Doctoral Thesis, California Institute of Technology, 1978 [19] J.D. Cole, “Perturbation Methods in Applied Mathematics”, Ginn-Blaisdell, 1968 [20] J. F. Clouet, Diffusion Approximation of a Transport Process in Random Media, SIAM J. Appl. Math, 58 pp. 1604–1621, 1998 [21] J. Hull and A. White, “The pricing of options on assets with stochastic volatilities, J. of Finance”, 42 pp. 281–300, 1987 [22] J. Kevorkian and J.D. Cole, Perturbation Methods in Applied Mathematics, Springer-Verlag, 1985 [23] J.M. Harrison and D. Kreps, “Martingales and arbitrage in multiperiod securities markets”, J. Econ. Theory, 20 pp. 381–408, 1979 [24] J.M. Harrison and S. Pliska, “Martingales and stochastic integrals in the theory of continuous trading”,Stoch. Proc. And Their Appl., 11 pp. 215–260, 1981 [25] J. Michael Steele, “Stochastic Calculus and Financial Applications”, Springer, 2001 [26] J.P. Fouque, G. Papanicolaou, K.R. Sirclair, “Derivatives in Financial Markets with Stochastic Volatility”, Cambridge Univ Press, 2000 [27] M. Musiela and M. Rutkowski, Martingale Methods in Financial Modelling, Springer, 1998 [28] Patrick S. Hagan and Diana E. Woodward, “Equivalent Black volatilities”, App.Math. Finance, 6 pp. 147–157. , 1999 [29] Paul Wilmott, “Paul Wilmott on Quantitative Finance”, John Wiley & Sons, 2000 [30] P.S. Hagan, A. Lesniewski, and D. Woodward, “Geometrical optics in finance”, in preparation [31] Rajiv Setia, Anshul Pradhan, Vivek Shukla, John Yen, Shawn Golhar, Andres Jaime Martinez and Juan Prada, “Interest Rates and Public Policy US elections: Risky business,” BARCLAYS, 2 June 2016. [32] S. L. Heston, “A closed-form solution for options with stochastic volatility with applications to bond and currency options”, The Review of Financial Studies, 6 pp. 327–343, 1993 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/77983 | - |
dc.description.abstract | 2016年中,多數的券商報告與分析師皆預期不論是川普或是希拉蕊當選美國總統,未來都將實施寬鬆財政政策。
在預期未來公債殖利率將會上升的情況下,投資人可放空長券、放空長期債券期貨、持有利率買權、抑或是組一個交換選擇權的投資組合等等,而本篇論文主要在探討最後一種作法。在預期未來將實施寬鬆財政政策下,進入三個交換選擇權利差策略,並追蹤策略至今,觀察策略損益。此外,本論文亦欲探討對投資人來說,在進入策略當天,零成本進入策略、先付權利金、或是先收權利金等,對投資人的報償曲線有何差異。最後,透過程式建構波動度曲面,觀察市場的資料建構的波動度曲面與自行建構的波動度曲面差異,並用SABR 模型描繪微笑曲線,建立可獲得任意執行利率的波動度的方法。 本研究在第一章會先簡介進行此研究的背景。並在第二章回顧重要文獻,以及說明為何決定使用 SABR 模型來描繪微笑曲線,透過整合波動度曲線與微笑曲線即可建構出三維度的波動度曲面。第三章敘述本篇論文使用的方法SABR 模型方程式。最後,實證結果及過程將於第四章詳細介紹。 | zh_TW |
dc.description.abstract | In mid-2016, the majority of broker’s reports and analysts expect that expansionary fiscal policy will be implemented in the future whether the president of the United States is Trump or Hillary.
In the event that the bond yield is going to rise, investors can short long-term bonds, short long-term bond futures, or compose a swaption spread strategies etc, and this research mainly to discuss the last approach. As a result, this paper intends to implement three strategies under expansionary fiscal policy expectations, then tracing their return until now. In addition, this paper also explores that on the day investors enter strategy, what’s the differences of future returns between zero-cost, pay premium, and receive premium strategies. Moreover, establish a mechanism which volatility could be derived given by arbitrary bps(strike). This mechanism also provides the function of comparing the differences of volatility surface built by market data with by self-constructed. The first section will describe the background of this study. Section two provides a literature reviews, and explains why fitting the smiling curve by using SABR model in the end. Through integrating the volatility curves and smile curves can construct three-dimension Volatility Surface. Section three give a description of SABR model equation used in this thesis. Finally, the empirical results and the processes will be elaborated in Section four. | en |
dc.description.provenance | Made available in DSpace on 2021-07-11T14:38:54Z (GMT). No. of bitstreams: 1 ntu-106-R04723028-1.pdf: 3521434 bytes, checksum: 99722d3238e4f4e46eeb9478a58b1334 (MD5) Previous issue date: 2017 | en |
dc.description.tableofcontents | 誌謝 i
中文摘要 ii ABSTRACT iii CONTENTS iv LIST OF FIGURES vi LIST OF TABLES viii Chapter 1 緒論 1 Chapter 2 文獻回顧 3 2.1 Smiling Curve 與其Model發展 3 2.2 Black’s Model 5 2.3 Local Volatility Models 5 2.4 SABR Model 6 Chapter 3 SABR Model 8 3.1 SABR Model Equation 8 3.2 Swaption 交換選擇權 10 3.3 Smiling Curve 市場報價說明 10 3.4 Volatility Surface 波動度曲面 12 Chapter 4 實證結果 13 4.1 零成本策略 15 4.2 先付權利金/先收權利金策略 32 4.3 Volatility Surface與任意Strike的Volatility查詢 37 Chapter 5 結論與建議 42 參考文獻 44 Appendix 47 | |
dc.language.iso | zh-TW | |
dc.title | 預期寬鬆財政政策下之交換利差策略研究 | zh_TW |
dc.title | On the Swaption Spread Strategies under Expansionary Fiscal Policy Expectations | en |
dc.type | Thesis | |
dc.date.schoolyear | 105-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 蔡偉澎,鍾懿芳 | |
dc.subject.keyword | 波動度曲面,微笑曲線,波動度曲線,交換選擇權, | zh_TW |
dc.subject.keyword | Volatility Surface,Smiling Curve,Volatility Curve,Swaption, | en |
dc.relation.page | 50 | |
dc.identifier.doi | 10.6342/NTU201701257 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2017-07-03 | |
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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