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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 | Ching-Ting Kuo | en |
dc.contributor.author | 郭景婷 | zh_TW |
dc.date.accessioned | 2021-05-20T19:58:58Z | - |
dc.date.available | 2015-07-16 | |
dc.date.available | 2021-05-20T19:58:58Z | - |
dc.date.copyright | 2010-07-16 | |
dc.date.issued | 2010 | |
dc.date.submitted | 2010-07-02 | |
dc.identifier.citation | Amin, K., and Morton, A.(1994),“Implied Volatility Functions in Arbitrage-Free Term Structure Models,”Journal of Financial Economics 35, 141-80.
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/8618 | - |
dc.description.abstract | 本文提供了一個靈活的多因子隨機波動度Heath–Jarrow–Morton模型,此模型讓遠期利率與其波動度具有相關性,且有N個隨機因子會影響利率結構,另有額外N個隨機因子會只會影響波動度(及利率衍生性商品)。此模型改進了Trolle and Schwartz (2009)的模型,讓即期利率(instantaneous spot rate) 也會影響利率波動度。此模型能夠轉換成有限狀態變數(finite number of state variables)的馬可夫表現(Markov representation)系統,故能輕易地使用蒙地卡羅模擬法來評價各種利率衍生性產品。本文也應證了此模型符合馬可夫性質。在此應用了有限狀態變數(finite number of state variables)導出風險中立下的瞬間遠期利率f(t,T) 、零息債券價格。此動態過程符合Duffie, Pan and Singleton (2000)(簡稱DPS)提出的Affine Jump-Diffusions的條件,能獲得債券選擇權評價公式的解析解。 | zh_TW |
dc.description.provenance | Made available in DSpace on 2021-05-20T19:58:58Z (GMT). No. of bitstreams: 1 ntu-99-R97723025-1.pdf: 735525 bytes, checksum: ed3a650d40fde3bfdea97f299a6a979f (MD5) Previous issue date: 2010 | en |
dc.description.tableofcontents | 誌謝 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 4 二、 HEATH-JARROW-MORTON模型基本架構 5 1. 連續時間下風險中立之HJM利率模型—由遠期利率隨機過程建構起 5 2. HJM利率模型之創新 6 三、 隨機波動模型之一般化HJM模型的基本假設與模型設定 7 1. 隱含隨機波動模型下的HJM架構 7 2. 風險中立下的瞬間遠期利率 10 3. 馬可夫性質 11 4. 零息債券價格 13 5. 對零息債券之歐式選擇權定價 14 四、 結論 17 參考文獻 18 附錄 28 附錄一 28 附錄二 30 附錄三 32 附錄四 33 附錄五 41 | |
dc.language.iso | zh-TW | |
dc.title | 一般化Heath-Jarrow-Morton利率模型對利率衍生性金融商品定價 | zh_TW |
dc.title | Using General Heath-Jarrow-Morton Model to Price Interest Rate Derivatives | en |
dc.type | Thesis | |
dc.date.schoolyear | 98-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 石百達,謝承熹 | |
dc.subject.keyword | Heath–Jarrow–Morton模型,隨機波動度,狀態依賴波動度,有限狀態變數,馬可夫性質,債券選擇權評價, | zh_TW |
dc.subject.keyword | Heath–Jarrow–Morton model,stochastic volatility,state dependent volatility,Markovian,bond option prices, | en |
dc.relation.page | 41 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2010-07-02 | |
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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